The Harrison-Pliska arbitrage pricing theorem under transaction costs

DOI10.1016/S0304-4068(00)00064-1zbMath0986.91012WikidataQ127305930 ScholiaQ127305930MaRDI QIDQ5939294

Youri M.Kabanov, Christophe Stricker

Publication date: 29 July 2001

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4068(00)00064-1

zbMATH Keywords

hedging; transaction costs; arbitrage pricing; contingent claims; polyhedral cone

Mathematics Subject Classification ID

91B24: Microeconomic theory (price theory and economic markets)

60G44: Martingales with continuous parameter

91B26: Auctions, bargaining, bidding and selling, and other market models

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