| 有摩擦证券市场中的资产定价 |
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| 引用本文： | 刘冰冰.有摩擦证券市场中的资产定价[J].广东技术师范学院学报,2006(6):90-92. |
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| 作者姓名： | 刘冰冰 |
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| 作者单位： | 广东技术师范学院,财经系,广东,广州,510665 |
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| 摘 要： | 本文研究在具有三个摩擦(交易费、买卖差价、交易量限制)的证券市场中无(强)套利资产的定价,在有摩擦的市场中,资产定价具有一定的灵活度,且灵活度随摩擦的个数的增加而增大.
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| 关 键 词： | 交易费 交易量限制 套利 交易策略 |
| 文章编号： | 1672-402X(2006)06-0090-03 |
| 修稿时间： | 2006年10月20 |
Securities Pricing in Market with Frictions |
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| Liu Bingbing.Securities Pricing in Market with Frictions[J].Journal of Guangdong Polytechnic Normal University,2006(6):90-92. |
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| Authors: | Liu Bingbing |
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| Abstract: | The article mainly studies non-arbitrage securities pricing in the market with three frictions(trade fee,price difference in buy and sale,quantity restriction of trade).In market with frictions,there is mobility in security pricing.And the mobility would be better with the increasing of frictions. |
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| Keywords: | trade fee quantity restriction of trade arbitrage trade strategy |
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