The authors investigate term structure with realistic transactions costs and taxes. Its properties are derived from a certain no- arbitrage condition via duality theory in convex programming. Transac tions costs imply an infinite multiplicity of term structures. A simp le example with realistic...

The usual notion of every future cash stream having a net present value determined from a single term structure breaks down when transaction costs are taken into account, especially the sizable costs associated with short-borrowing. the difficulties are compounded by taxes, which can lead to...

The value of a future cash stream is often taken to be its net present value with respect to some term structure. This means that a linear formula is used in which each future payment is discounted by a factor deemed appropriate for the date on which the payment will be made. In a money market...

One of the most fundamental results in finance is the equivalence of a no-arbitrage condition to the existence of a pricing operator in markets without transaction costs (see Ross (1978)). Garman and Ohlson (1981) extended this to markets with proportional transaction costs. The current paper...

Most valuation theory has ignored transaction costs, has either ignored taxes or treated them ad hoc, and has used NPV to value riskless cash flows. Recently, in a new approach, transaction costs were explicitly considered, taxes were treated in more detail, and the single term structure vector...