摘要本文研究了摩擦市场无套利的特征问题。首先,总结了(B,S)市场是无套利的充要条件:1)存在等价概率测度;2)存在最优消费策略;3)存在正的状态价格向量。
其次,基于以上三个关于摩擦市场的无套利等价性结论,结合现有金融学中衍生证券定价的研究成果,本文得出如下的结论:产品的可定价性意味着此类市场是无套利的。
最后,基于经典的Black-Scholes模型以及Harnack不等式等相关模型证实了这一结论。67262
作为对套利理论的进一步完善,本文简要分析了渐近套利问题。
毕业论文关键词 无套利, 等价概率测度, 最优消费, 状态价格, B-S模型, Harnack不等式, 渐近套利
毕业设计说明书(论文)外文摘要
Title The Analysis And Application Of Asymptotic Arbitrage
Abstract
This paper studies the characteristics problem of no-arbitrage in friction market.
Firstly,the article summed up the necessary and sufficient conditions of no-arbitrage in (B,S) market :1)the existence of equivalent probability measure;2)the existence of optimal consumption policy; 3)the existence of positive state price vector.
Secondly,based on the above equivalent conclusions about no-arbitrage in friction market and combined with the research on derivative securities pricing in the existing finance,this article drew a new conclusion: product pricing implies that such markets can exist no arbitrage opportunities.
Finally, we validated the conlusion based on related models such as the classic Black-Scholes model and Harnack inequality.
As a further improvement of arbitrage theory , this paper analyzed briefly the problem of asymptotic arbitrage.
Keywords no arbitrage, equivalent probability measure, optimal consumption, state prices, B-S model, Harnack inequality, asymptotic arbitrage
目次
1 绪论 1
1.1 引入 1
1.2 无套利的发展历史 1
1.3 未来套利研究的展望 2
1.4 经典的二项式模型简述 2
1.5 文章结构 4
1.6 本文的创新点 5
2 预备知识 6
2.1 几何Brown运动 7
2.2 Ito公式及其简单应用 7
2.3 Kolmogorov方程 8
3 无套利特性分析 8
3.1 无套利的等价条件 9
3.1.1 (B,S)市场上的无套利分析 9
3.1.2 存在最优消费时的无套利分析 10
3.1.3 状态价格与无套利分析 11
3.2 无套利问题的拓展 12
3.2.1 问题的提出 12
3.2.2 经典的B-S模型 13
3.2.3 无套利与B-S模型的关系 16
3.3 Harnack不等式与无套利 17
3.3.1 基本假设 摩擦市场渐近无套利分析及应用研究:http://www.751com.cn/shuxue/lunwen_75392.html