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.
- Language
-
Englisch
- Bibliographic citation
-
Series: Research Report ; No. 2000-13
- Classification
-
Wirtschaft
- Subject
-
the first fundamental valuation theorems
frictional markets
weak arbitrage-freeness
strict arbitrage-freeness
arbitrage-free pricing theory
- Event
-
Geistige Schöpfung
- (who)
-
Deng, Xiaotie
Xu, Chunlei
Zhang, Shunming
- Event
-
Veröffentlichung
- (who)
-
The University of Western Ontario, Department of Economics
- (where)
-
London (Ontario)
- (when)
-
2000
- Handle
- Last update
-
10.03.2025, 11:45 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Deng, Xiaotie
- Xu, Chunlei
- Zhang, Shunming
- The University of Western Ontario, Department of Economics
Time of origin
- 2000
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