General Arbitrage Pricing Model: II – Transaction Costs
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Publication:5423767
DOI10.1007/978-3-540-71189-6_24zbMath1322.91052MaRDI 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 costs; fundamental theorem of asset pricing; risk-neutral measure; fair price; delta-martingale; general arbitrage pricing model; generalized arbitrage; set of attainable incomes
91G20: Derivative securities (option pricing, hedging, etc.)
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