The fundamental theorem of asset pricing in the presence of bid-ask and interest rate spreads

DOI10.1016/J.JMATECO.2010.12.004zbMath1217.91060OpenAlexW1994524358MaRDI QIDQ553523

Alet Roux

Publication date: 27 July 2011

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmateco.2010.12.004

zbMATH Keywords

fundamental theorem of asset pricingproportional transaction costsdifferent borrowing and lending rates

Mathematics Subject Classification ID

Related Items (7)

Dynamic bid-ask pricing under Dempster-Shafer uncertainty ⋮ GOOD DEAL BOUNDS WITH CONVEX CONSTRAINTS ⋮ Asset pricing in an imperfect world ⋮ A comparison of two no-arbitrage conditions ⋮ Fundamental theorem of asset pricing under fixed and proportional transaction costs ⋮ Fundamental theorem of asset pricing under fixed and proportional costs in multi-asset setting and finite probability space ⋮ Asset pricing and hedging in financial markets with fixed and proportional transaction costs

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