Arbitrage Pricing Under Transaction Costs: Continuous Time

We develop an abstract version of Arbitrage Pricing Theory for continuous-time models with transaction costs. Our results includes the financial -model of Campi and Schachermayer.

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Year of publication:	2009
Authors:	Lépinette-Denis, Emmanuel
Institutions:	Université Paris-Dauphine (Paris IX)
Subject:	General arbitrage \| Random cones \| Continuous trading \| Hedging theorem

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Series:	Economics Papers from University Paris Dauphine.
Type of publication:	Book / Working Paper
Notes:	Published in Recent advances in financial engineering‎, proceedings of the 2008 Daiwa International Workshop on Financial Engineering,
Classification:	D23 - Organizational Behavior; Transaction Costs; Property Rights ; G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011073000