Under the assumptions that every two assets could be traded directly, and the proportions of the transaction costs are functions of the traded assets and time, the a continuous market model was construted, which led to the result that there was no arbitra
Under the assumptions that every two assets could be traded directly, and the proportions of the transaction costs are functions of the traded assets and time, the a continuous market model was construted, which led to the result that there was no arbitra
摘要假定任意两资产均可直接交易，且交易费率为资产和时间的非随机函数，建立了有交易费的连续时间市场模型；利用辅助鞍和资产折算函数等方法得到了一个重要结果，即在给定的可允许策略集下，该市场无套利。