摘要
在分析矿产品市场上套利机会存在性和套利行为对定价影响的同时,探讨套利收益的变动范围和运动状态及稀缺性在矿产品价格变化状态中的作用,并分别进行模拟检验.在此基础上构建基于套利收益服从跳跃-扩散过程的矿产品价格模型.
This paper analyzes the existence of arbitrage chance and the effect of arbitrage behavior in the mineral product market.We also discuss the volatility range and motion state of arbitrage income, and the effect of the scarcity of mineral source in pricing process.And the simulation test is given.Finally, a pricing model for mineral products,based on arbitrage income and subjecting to jump-diffusion process distribution,is presented.
出处
《系统工程理论与实践》
EI
CSSCI
CSCD
北大核心
2011年第4期771-777,共7页
Systems Engineering-Theory & Practice
基金
国家杰出青年基金(70825006)
教育部创新团队(IRT0916)
关键词
矿产品
套利收益
价格
跳跃-扩散过程
mineral products
arbitrage income
price
jump-diffusion process
