The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
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Publication:4464011
DOI10.1111/j.0960-1627.2004.00180.xzbMath1119.91046OpenAlexW2133183661MaRDI QIDQ4464011
Publication date: 27 May 2004
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.0960-1627.2004.00180.x
Microeconomic theory (price theory and economic markets) (91B24) Markov processes (60J99) Actuarial science and mathematical finance (91G99)
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Cites Work
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- Martingales and arbitage in securities markets with transaction costs
- Viability and Equilibrium in Securities Markets with Frictions
- Equivalent martingale measures and no-arbitrage in stochastic securities market models
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