| 有交易限制的未定权益定价 |
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| 引用本文： | 尤苏蓉.有交易限制的未定权益定价[J].东华大学学报(自然科学版),2005,31(6):39-42. |
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| 作者姓名： | 尤苏蓉 |
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| 作者单位： | 东华大学理学院,上海,200051 |
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| 摘 要： | 讨论了单时期有交易限制的市场背景下未定权益的定价问题。定义了未定权益的买入和卖出保值价格，得到了未定权益的无套利价格区间，说明了价格区间的无套利性质。就一个具体的金融市场模型讨论了所得结论，并分析了限制务件对价格区间的影响。
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| 关 键 词： | 交易限制 买入和卖出保值价格 无套利价格区间 |
| 收稿时间： | 2004-06-07 |
| 修稿时间： | 2004年6月7日 |
On the Pricing of a Contingent Claim Under Trading Constraints |
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| YOU Su-rong.On the Pricing of a Contingent Claim Under Trading Constraints[J].Journal of Donghua University,2005,31(6):39-42. |
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| Authors: | YOU Su-rong |
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| Institution: | College of Basic Science, Donghua University, Shanghai, 200051 |
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| Abstract: | This paper discusses the problem of pricing a contingent claim in a single-period market under trading constraints. The buying and selling prices for hedging are given. A no-arbitrage price interval is got. The properties about the interval are also discussed. An example is also given to support the results got in the paper. |
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| Keywords: | trading constraints buying and selling prices for hedging no-arbitrage price interval |
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