The fundamental theorem of asset pricing under transaction costs

DOI10.1007/s00780-012-0185-0zbMath1262.91126MaRDI QIDQ693033

Miklós Rásonyi, Emmanuel Lépinette, Paolo Guasoni

Publication date: 7 December 2012

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-012-0185-0

zbMATH Keywords

transaction costs; arbitrage; finite variation; fundamental theorem of asset pricing; admissible strategies

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

60H05: Stochastic integrals

26A45: Functions of bounded variation, generalizations

91G10: Portfolio theory

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