Articlegreen2002

Dynamic Arbitrage‐Free Asset Pricing with Proportional Transaction Costs

Shunming Zhang · Chunlei Xu · Xiaotie Deng

20 citations0/0 files storedMathematical Finance

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Stochastic processes and financial applications Financial Markets and Investment Strategies Economic theories and models

Abstract

This paper studies multiperiod asset pricing theory in arbitrage‐free financial markets with proportional transaction costs. The mathematical formulation is based on a Euclidean space for weakly arbitrage‐free security markets and strongly arbitrage‐free security markets. We establish the weakly arbitrage‐free pricing theorem and the strongly arbitrage‐free pricing theorem.

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References

1981Arbitrage and equilibrium in economies with infinitely many commodities 1995Martingales and Arbitrage in Securities Markets with Transaction Costs 1990Equivalent martingale measures and no-arbitrage in stochastic securities market models 1996Asset Pricing in Economies with Frictions 1992A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time 1998Local martingales and the fundamental asset pricing theorems in the discrete-time case 1995ARBITRAGE IN SECURITIES MARKETS WITH SHORT‐SALES CONSTRAINTS 1991On the fundamental theorem of asset pricing with an infinite state space

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