Arbeitspapier
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Research Report ; No. 2000-13
- Klassifikation
-
Wirtschaft
- Thema
-
the first fundamental valuation theorems
frictional markets
weak arbitrage-freeness
strict arbitrage-freeness
arbitrage-free pricing theory
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Deng, Xiaotie
Xu, Chunlei
Zhang, Shunming
- Ereignis
-
Veröffentlichung
- (wer)
-
The University of Western Ontario, Department of Economics
- (wo)
-
London (Ontario)
- (wann)
-
2000
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Deng, Xiaotie
- Xu, Chunlei
- Zhang, Shunming
- The University of Western Ontario, Department of Economics
Entstanden
- 2000
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