KMS Of Academy of mathematics and systems sciences, CAS
| Finite horizon arbitrage-free security markets | |
| Zhang, SM; Wang, YY | |
| 1998 | |
| Source Publication | ACTA MATHEMATICA SCIENTIA
 |
| ISSN | 0252-9602 |
| Volume | 18Issue:2Pages:203-211 |
| 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 Banach 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. |
| Keyword | Farkas-Minkowski's Lemma Stiemke's Lemma weakly arbitrage-free strictly arbitrage-free |
| Language | 英语 |
| WOS Research Area | Mathematics |
| WOS Subject | Mathematics |
| WOS ID | WOS:000075068600011 |
| Publisher | BALTZER SCI PUBL BV |
| Citation statistics | |
| Document Type | 期刊论文 |
| Identifier | http://ir.amss.ac.cn/handle/2S8OKBNM/13752 |
| Collection | 中国科学院数学与系统科学研究院 |
| Affiliation | 1.Tsing Hua Univ, Sch Econ & Management, Beijing 100084, Peoples R China 2.Acad Sinica, Inst Syst Sci, Beijing 100080, Peoples R China |
| Recommended Citation GB/T 7714 | Zhang, SM,Wang, YY. Finite horizon arbitrage-free security markets[J]. ACTA MATHEMATICA SCIENTIA,1998,18(2):203-211. |
| APA | Zhang, SM,&Wang, YY.(1998).Finite horizon arbitrage-free security markets.ACTA MATHEMATICA SCIENTIA,18(2),203-211. |
| MLA | Zhang, SM,et al."Finite horizon arbitrage-free security markets".ACTA MATHEMATICA SCIENTIA 18.2(1998):203-211. |
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