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摘要无套利定价原理是均衡市场的最本质特征，一直以来，是数理金融中研究最多的问题，经典的无套利理论体系较完整，很多定价模型以及理论一直是现代金融学研究的基础。
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近年来，在分析无套利定价及其应用的问题上，国内外学者集中研究存在买卖价差、成比例交易费和凸交易税收的摩擦市场中无套利定价模型，试图给出合理的资产定价。
本文顺着这个思路，在存在买卖价差和成比例交易费单期有限市场模型下，更加贴合市场实际，引入概率测度对“几乎无套利”给出了定义，并利用Copula函数进一步刻画这个定义。
本文研究内容是对经典无套利的一个拓展，具有较强的统计意义，对进一步研究“几乎无套利”定价以及应用是有借鉴意义的。30704
关键词 无套利 几乎无套利 摩擦市场 Copula函数 最优化
毕业论文设计说明书外文摘要
Title Almost no arbitrage basic characteristics of financial markets
Abstract
No arbitrage pricing principle is the most essential characteristic of a balanced market, it has been the most studied mathematical finance problems. The theoretical system of Classic no arbitrage is completed.Many pricing models and theory has been the basis for the study of modern finance.
In recent years,as for the problem of the analysis of no arbitrage pricing and the application,
scholars has focused on arbitrage pricing model of the presence of bid-ask spread, proportional transaction costs and convex transaction tax,witch considered in friction market , trying to give a reasonable asset pricing.
In this article ,I would like to follow along the way, the bid-ask spread and proportional transaction costs in a single model of the limited market presence, fit the actual market much more, I give the definition of the "almost no arbitrage" on the basic of probability measure.Then introducing Copula function to characterize this definition.
The main content of this paper is a development about classic arbitrage-free principle, with strong statistical significance for the following study, and there is a reference for the study of "almost no arbitrage" pricing.
Keywords no arbitrage almost no arbitrage frictional market the Copula function optimization
目 次
1 绪论 1
1.1 研究背景 1
1.2 国内外研究现状概述 2
1.3 本文主要工作 7
1.3.1 本文结构支架 7
1.3.2 本文创新点 7
2 准备知识 8
2.1 经典无套利定价模型 8
2.1.1 基本资产市场模型 8
2.1.2 无套利理论模型 9
2.1.3 单期无套利市场资产定价 10
2.2 无套利定价理论相关定义及定理 10
3 几乎无套利理论 13
3.1 几乎无套利定义 13
3.1.1 概率测度下的定义 13
3.1.2 摩擦市场下的几乎无套利定义 15
3.2 几乎无套利的本质刻画 15
3.2.1 Copula函数 15