General Arbitrage Pricing Model: II – Transaction Costs

DOI10.1007/978-3-540-71189-6_24zbMath1322.91052OpenAlexW60932666MaRDI QIDQ5423767

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Publication date: 31 October 2007

Published in: Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-540-71189-6_24

zbMATH Keywords

transaction costsfundamental theorem of asset pricingrisk-neutral measurefair pricedelta-martingalegeneral arbitrage pricing modelgeneralized arbitrageset of attainable incomes

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (11)

IMPLICIT TRANSACTION COSTS AND THE FUNDAMENTAL THEOREMS OF ASSET PRICING ⋮ Consistent price systems and face-lifting pricing under transaction costs ⋮ Arbitrage in markets with bid-ask spreads. The fundamental theorem of asset pricing in finite discrete time markets with bid-ask spreads and a money account ⋮ A Complement to the Grigoriev Theorem for the Kabanov Model ⋮ Consistent price systems in multiasset markets ⋮ The fundamental theorem of asset pricing for continuous processes under small transaction costs ⋮ Unnamed Item ⋮ Brownian moving averages have conditional full support ⋮ The fundamental theorem of asset pricing under transaction costs ⋮ Consistent price systems and arbitrage opportunities of~the~second kind in models with transaction costs ⋮ Fundamental theorem of asset pricing under fixed and proportional transaction costs

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