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.

MoreLess

Year of publication:	2000
Authors:	Deng, Xiaotie ; Xu, Chunlei ; Zhang, Shunming
Publisher:	London (Ontario) : The University of Western Ontario, Department of Economics
Subject:	the first fundamental valuation theorems \| frictional markets \| weak arbitrage-freeness \| strict arbitrage-freeness \| arbitrage-free pricing theory

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details

Series:	Research Report ; 2000-13
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	737231122 [GVK] hdl:10419/70380 [Handle] RePEc:uwo:uwowop:200013 [RePEc]
Source:	EconStor

Persistent link: https://www.econbiz.de/10010291997