We study securities market models with fixed costs. We first characterize the absence of arbitrage opportunities and provide fair pricing rules. We then apply these results to extend some popular interest rate and option pricing models that present arbitrage opportunities in the absence of fixed...

In this paper we consider a family of investment projects defined by their deterministic cash flows. We assume stationarity—that is, projects available today are the same as those available in the past. In this framework, we prove that the absence of arbitrage opportunities is equivalent to...

The theory of asset pricing, which takes its roots in the Arrow-Debreu model (Theory of value [1959, chap. 7]), the Black and Sholes formula (1973) and Cox and Ross (1976 a and b), has been formalized in a general framework by Harrison and Kreps (1979), Harrison and Pliska (1979) and Kreps...

We consider a model in which any investment opportunity is described in terms of cash flows. We don't assume that there is a numéraire, enabling investors to transfer wealth through time; the time horizon is not supposed to be finite and the investment opportunities are not specifically related...

Standard models for fi…nancial markets are based on the simplifying assumption that trading orders can be given and executed in continuous time with no friction. This assumption is clearly a strong idealization of the reality. In particular, securities should not be described by a single price...

The theory of asset pricing, which takes its roots in the Arrow-Debreu model, the Black and Scholes formula, has been famalized in a framework by Harrison and Kreps (1979), harrison and Pliska (1979) and Kreps (1981). In these models, securities markets are assumed to be frictionless. The main...

The theory of asset pricing, which takes its roots in the Arrow-Debreu model, the Black and Scholes formula, has been famalized in a framework by Harrison and Kreps (1979), harrison and Pliska (1979) and Kreps (1981). In these models, securities markets are assumed to be frictionless. The main...

The theory of asset pricing takes its roots in the Arrow-Debreu model (see,for instance, Debreu 1959, Chap. 7), the Black and Scholes (1973) formula,and the Cox and Ross (1976) linear pricing model. This theory and its link to arbitrage has been formalized in a general framework by Harrison and...