Dynamic Arbitrage-Free Asset Pricing with Proportional Transaction Costs

DOI10.1111/1467-9965.00006zbMath1050.91054OpenAlexW3122492089MaRDI QIDQ4548072

ChunLei Xu, Shunming Zhang, Xiaotie Deng

Publication date: 19 September 2002

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10419/70380

zbMATH Keywords

arbitrage-free pricing theoryfundamental valuation theorems

Mathematics Subject Classification ID

Related Items (7)

Computation of arbitrage in frictional bond markets ⋮ Effective securities in arbitrage-free markets with bid-ask spreads at liquidation: a linear programming characterization ⋮ COMPUTATIONAL COMPLEXITY OF ARBITRAGE IN FRICTIONAL SECURITY MARKET ⋮ The fundamental theorem of asset pricing in the presence of bid-ask and interest rate spreads ⋮ Necessary and sufficient conditions for weak no-arbitrage in securities markets with frictions ⋮ Fundamental theorem of asset pricing under fixed and proportional transaction costs ⋮ Asset pricing under progressive taxes and existence of general equilibrium

Cites Work

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• A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time
• The fundamental theorem of asset pricing with cone constraints
• Local martingales and the fundamental asset pricing theorems in the discrete-time case
• Financial innovation and arbitrage pricing in frictional economies
• Martingales and arbitage in securities markets with transaction costs
• On the fundamental theorem of asset pricing with an infinite state space
• ARBITRAGE IN SECURITIES MARKETS WITH SHORT-SALES CONSTRAINTS
• Equivalent martingale measures and no-arbitrage in stochastic securities market models
• Asset Pricing in Economies with Frictions

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