无套利分析在非完美条件下远期合约定价中的运用  

Application of No-arbitrage Analysis in Pricing Forward Contracts under Imperfect Conditions

作　　者：宁同科[1] 李绯[1] 

机构地区：[1]上海师范大学金融学院,上海200234

出　　处：《成都理工大学学报（社会科学版）》2011年第3期25-28,共4页Journal of Chengdu University of Technology:Social Sciences

基　　金：上海市教委社科项目(CW0918);上海师范大学金融工程重点学科(DZW912)

摘　　要：无套利分析方法是现代金融理论的基石之一,已成为金融衍生品定价的一种重要方法,传统的金融工程教科书很少涉及非完美条件下远期合约的定价问题。在介绍无套利分析方法的基础上,通过现金流复制技术,研究了三种非完美条件下远期合约的定价问题。No-arbitrage analysis is an important method of financial derivatives pricing,the traditional teaching text of financial engineering is rarely associated with forward contracts pricing in imperfect conditions.we obtain the price of forward contracts under three kinds of imperfect conditions by replicating cash flows on the basis of introducing no-arbitrage analysis method.

关 键 词：无套利分析 远期合约 非完美条件 定价 

分 类 号：F224[经济管理—国民经济]