FINITE HORIZON ARBITRAGE-FREE SECURITY MARKETS

数学物理学报(英文版) ›› 1998, Vol. 18 ›› Issue (2): 203-211.

FINITE HORIZON ARBITRAGE-FREE SECURITY MARKETS

张顺明¹, 王毓云²

1. School of Economics and Management, Tsinghua University, Beijing 100084, China;
2. Institute of Systems Science, Academia Sinica, Beijing 100080, China

收稿日期:1996-05-29 出版日期:1998-06-25 发布日期:1998-06-25
基金资助:
This paper is financial supported by a project of Financial Mathematics,Financial Engineering and Financial Management, which is one of "Ninth Five-Year Plan" Major Projects of National Natural Science Foundation of China (Grant 79790130) and Xiao Lin-Shi Foundation of Chinese Bconomic Research in School of Economics and Management, Tsinghua University.

FINITE HORIZON ARBITRAGE-FREE SECURITY MARKETS

Zhang Shunming¹, Wang Yuyun²

1. School of Economics and Management, Tsinghua University, Beijing 100084, China;
2. Institute of Systems Science, Academia Sinica, Beijing 100080, China

Received:1996-05-29 Online:1998-06-25 Published:1998-06-25
Supported by:
This paper is financial supported by a project of Financial Mathematics,Financial Engineering and Financial Management, which is one of "Ninth Five-Year Plan" Major Projects of National Natural Science Foundation of China (Grant 79790130) and Xiao Lin-Shi Foundation of Chinese Bconomic Research in School of Economics and Management, Tsinghua University.

摘要/Abstract

摘要： This paper studies the weakly and strictly arbitrage-free security markets. The authors extend the Farkas-Minkowski's Lemma and Stiemke's Lemma from two periods to finite periods and from finite-dimensional (Euclidean) space to locally convex topological space and separable Banack space, show weakly and strictly arbitrage-free security pricing theory, then obtain the conditional expectation form of weakly and strictly arbitrage-free security pricing formula.

关键词: Farkas-Minkowski's Lemma, Stiemke's Lemma, weakly arbitrage-free, strictly arbitrage-free

Abstract: This paper studies the weakly and strictly arbitrage-free security markets. The authors extend the Farkas-Minkowski's Lemma and Stiemke's Lemma from two periods to finite periods and from finite-dimensional (Euclidean) space to locally convex topological space and separable Banack space, show weakly and strictly arbitrage-free security pricing theory, then obtain the conditional expectation form of weakly and strictly arbitrage-free security pricing formula.

Key words: Farkas-Minkowski's Lemma, Stiemke's Lemma, weakly arbitrage-free, strictly arbitrage-free

张顺明, 王毓云. FINITE HORIZON ARBITRAGE-FREE SECURITY MARKETS[J]. 数学物理学报(英文版), 1998, 18(2): 203-211.

Zhang Shunming, Wang Yuyun. FINITE HORIZON ARBITRAGE-FREE SECURITY MARKETS[J]. Acta mathematica scientia,Series B, 1998, 18(2): 203-211.

FINITE HORIZON ARBITRAGE-FREE SECURITY MARKETS

FINITE HORIZON ARBITRAGE-FREE SECURITY MARKETS

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