Dynamic Arbitrage-Free Asset Pricing with Proportional Transaction Costs

DOI10.1111/1467-9965.00006zbMATH Open1050.91054OpenAlexW3122492089MaRDI QIDQ4548072FDOQ4548072

Authors: Shunming Zhang, Chunlei Xu, Xiaotie Deng 

Publication date: 19 September 2002

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10419/70380

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zbMATH Keywords

arbitrage-free pricing theoryfundamental valuation theorems

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Cites Work

• Local martingales and the fundamental asset pricing theorems in the discrete-time case
• Martingales and arbitage in securities markets with transaction costs
• ARBITRAGE IN SECURITIES MARKETS WITH SHORT-SALES CONSTRAINTS
• Equivalent martingale measures and no-arbitrage in stochastic securities market models
• Title not available (Why is that?)
• Asset Pricing in Economies with Frictions
• Arbitrage and equilibrium in economies with infinitely many commodities
• The fundamental theorem of asset pricing with cone constraints
• A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time
• Financial innovation and arbitrage pricing in frictional economies
• On the fundamental theorem of asset pricing with an infinite state space

Cited In (14)

• Arbitrage in a discrete time model of a financial market with a taxation proportional to the portfolio size
• Title not available (Why is that?)
• The Harrison-Pliska arbitrage pricing theorem under transaction costs
• The fundamental theorem of asset pricing in the presence of bid-ask and interest rate spreads
• 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
• Computation of arbitrage in frictional bond markets
• Fundamental theorem of asset pricing under fixed and proportional transaction costs
• COMPUTATIONAL COMPLEXITY OF ARBITRAGE IN FRICTIONAL SECURITY MARKET
• Necessary and sufficient conditions for weak no-arbitrage in securities markets with frictions
• Dynamic asset pricing with non-redundant forwards
• Asset pricing and hedging in financial markets with transaction costs: an approach based on the von Neumann-Gale model
• Effective securities in arbitrage-free markets with bid-ask spreads at liquidation: a linear programming characterization
• Asset pricing under progressive taxes and existence of general equilibrium

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