This dissertation studies if no arbitrage equilibrium with the system risk factor can be reached in the market, under the constraint of no short sale trading regulation in the Chinese stock market.
In this paper,we first give the economical model of incomplete markets in exchange economy of two periods with uncertainty in the second period,and concerning with essential notations which are necessary in the proofs of theorems. In chapter two,by the Grassmannian fixed point theorem and the theorem of generic finiteness of the solutions of equation,we give a simplicity method to show the existence of no arbitrage equilibrium in case the state dependent payoff mappings are C 1 mappings.
Assuming that there is no arbitrage and there are two securities traded, riskless and risky in the market, by selffinancing strategy we obtain the BSDE option price satisfies ,and then we will get the probability expression formula of the European options' price by BSDE.
Small, transitory inflationary innovations will lower real interest rates, yet create no arbitrage opportunities since the benefits from these low rates will be insufficient relative to the adjustment costs implicit in altering investment.
As a result, we show that a finiteness condition for an arbitrary chosen currency and the no arbitrage condition for the basket currency are necessary and sufficient for the no arbitrage property of all theN currencies.
This paper give an expression of budget set of no-arbitrage equilibrium by the stiefel manifold for the sake of orientation of equilibrium and construction of oriented index theorem.
This paper analysis the general equilibrium model with money and incomplete real asset markets.We examine the role of money as a medium of exchange and prove the properties,that is,the Generic existence,finiteness and regularity of general monetary equilibrium for the monetary exchange economy with incomplete real asset markets by the equiyalence between the (normalized) (no-arbitrage)GEI equilibrium and(normalized ) (no-arbitrage)general monetary equilibrium.
鋝 Nobel Economics Prize was awarded to Robert Merton and Myron Scholes for their distinguished contribution to option pricing theory.Option pricing theory is closely related to practical operations in financial marketsand has significantimpacton the developmentof western financial mar- kets.Black and Scholes published the firstoption pricing model in1 973,Merton and otherresearchers continued their work,further developed the model,gaining in the process more perfection and wider application for t...