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Date of Publication: 2004-01-01

Journal: 系统工程理论与实践

Institution: 经济管理学院

Volume: 24

Issue: 10

Page Number: 33-38

ISSN: 1000-6788

Abstract: By defining e -hedging strategy, applying duality principle of linear
   programming and martingale measure theory, we present a kind of
   calculation method for the seller's arbitrage price and the buyer's
   arbitrage price of capital asset in finite (state) security market. We
   study the following two cases- (a) allowing short selling securities,
   and allowing borrowing and lending cash) (b) not allowing short selling
   securities, but allowing borrowing and lending cash. The analyses show
   that the epsilon-arbitrage prices and the bid-ask price interval of the
   capital asset can be obtained by solving corresponding linear
   programming problems in martingale measure's spaces or super-martingale
   spaces corresponding to the securities. In the end, we discuss the cases
   in which the investor is risk-averse, risk-prone or risk-neutral.

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