The Harrison-Pliska arbitrage pricing theorem under transaction costs

DOI10.1016/S0304-4068(00)00064-1zbMath0986.91012OpenAlexW1988357081WikidataQ127305930 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

hedgingtransaction costsarbitrage pricingcontingent claimspolyhedral cone

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Martingales with continuous parameter (60G44) Auctions, bargaining, bidding and selling, and other market models (91B26)

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Cites Work

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• Hedging under Transaction Costs in Currency Markets: a Discrete-Time Model
• Hedging under Transaction Costs in Currency Markets: a Continuous-Time Model
• Equivalent martingale measures and no-arbitrage
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