NO-ARBITRAGE ANALYSIS FOR THE TERM STRUCTURE OF INTEREST RATES IN MARKETS WITH FRICTIONS
摩擦市场的利率期限结构的无套利分析

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.