The fundamental theorem of asset pricing under transaction costs

DOI10.1007/s00780-012-0185-0zbMath1262.91126OpenAlexW3125733168MaRDI QIDQ693033

Miklós Rásonyi, Emmanuel Lépinette, Paolo Guasoni

Publication date: 7 December 2012

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-012-0185-0

zbMATH Keywords

transaction costsarbitragefinite variationfundamental theorem of asset pricingadmissible strategies

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic integrals (60H05) Functions of bounded variation, generalizations (26A45) Portfolio theory (91G10)

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