Dynamic arbitrage-free asset pricing with proportional transaction costs

by Xiaotie Deng; Chunlei Xu; Shunming Zhang

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

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Year of publication:	2000
Authors:	Deng, Xiaotie ; Xu, Chunlei ; Zhang, Shunming
Publisher:	London, Ont. : Dep. of Economics, Social Science Centre, Univ. of Western Ontario
Subject:	Transaktionskosten \| Transaction costs \| Theorie \| Theory \| CAPM \| Arbitrage