%0 Journal Article
%T NO-ARBITRAGE ANALYSIS FOR THE TERM STRUCTURE OF INTEREST RATES IN MARKETS WITH FRICTIONS<br>摩擦市场的利率期限结构的无套利分析
%A Zhong Fei LI
%A Shou Yang WANG
%A Xiao TIE DENG
%A <br>李仲飞
%A 汪寿阳
%A 邓小铁
%J 系统科学与数学
%D 2002
%I 
%X In this paper we analyse the term structure of interest rates in frictional markets by using the no-arbitrage approach. For a market with finite bonds and finite and discrete times to maturities and with frictions including proportional transaction costs, bid-ask spreads, and taxes, the concept of a consistent term structure is introduced, several existence results or necessary and sufficient conditions for a consistent term structure or for an arbitrage opportunity are derived, and a method for identifying and computing a consistent term structure or an arbitrage opportunity is presented.
%K Term structure
%K transaction co&ts
%K bid-ask spread
%K taxes
%K weak no-arbitrage<br>期限结构
%K 摩擦市场
%K 交易费
%K 买卖差价
%K 税赋
%K 弱无套利
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=6E709DC38FA1D09A4B578DD0906875B5B44D4D294832BB8E&cid=37F46C35E03B4B86&jid=0CD45CC5E994895A7F41A783D4235EC2&aid=DA28EF60FF58F9ED&yid=C3ACC247184A22C1&vid=BC12EA701C895178&iid=38B194292C032A66&sid=B8F8200D88DDC7D6&eid=AF507FDD66D991DA&journal_id=1000-0577&journal_name=系统科学与数学&referenced_num=3&reference_num=21