General Arbitrage Pricing Model: II – Transaction Costs
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Publication:5423767
DOI10.1007/978-3-540-71189-6_24zbMath1322.91052OpenAlexW60932666MaRDI QIDQ5423767
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Publication date: 31 October 2007
Published in: Lecture Notes in Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-540-71189-6_24
transaction costsfundamental theorem of asset pricingrisk-neutral measurefair pricedelta-martingalegeneral arbitrage pricing modelgeneralized arbitrageset of attainable incomes
Related Items (11)
IMPLICIT TRANSACTION COSTS AND THE FUNDAMENTAL THEOREMS OF ASSET PRICING ⋮ Consistent price systems and face-lifting pricing under transaction costs ⋮ Arbitrage in markets with bid-ask spreads. The fundamental theorem of asset pricing in finite discrete time markets with bid-ask spreads and a money account ⋮ A Complement to the Grigoriev Theorem for the Kabanov Model ⋮ Consistent price systems in multiasset markets ⋮ The fundamental theorem of asset pricing for continuous processes under small transaction costs ⋮ Unnamed Item ⋮ Brownian moving averages have conditional full support ⋮ The fundamental theorem of asset pricing under transaction costs ⋮ Consistent price systems and arbitrage opportunities of~the~second kind in models with transaction costs ⋮ Fundamental theorem of asset pricing under fixed and proportional transaction costs
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