Arbitrage and viability in securities markets with fixed trading costs (Q5939295)

The paper studies basic topics in asset pricing theory with fixed transaction costs. The assumption that there is no free lunch is equivalent to the existence of a family of absolutely continuous probability measures for which securities price processes are martingales. In case of frictionless models we had just one equivalent martingale measure instead of the above family. Another result proved states that the only arbitrage-free pricing rules on the set of contingent claims are those which are the sum of an expected value and of a bounded fixed cost functional. What is more, these pricing rules are the only ones to be viable as models of economic equilibrium.