Dynamic arbitrage-free asset pricing with proportional transaction costs

This paper studies arbitrage-free conditions for multiperiod asset pricing in frictional financial markets with proportional transaction costs. We consider the Euclidean space for weakly arbitrage-free security markets and strongly arbitrage-free security markets, and establish the weakly arbitrage-free pricing theorem and the strongly arbitrage-free pricing theorem. -- the first fundamental valuation theorems ; frictional markets ; weak arbitrage-freeness ; strict arbitrage-freeness ; arbitrage-free pricing theory