The Harrison-Pliska arbitrage pricing theorem under transaction costs

被引：61

作者：

Kabanov, YM

Stricker, C

机构：

[1] Univ Franche Comte, Math Lab, F-25030 Besancon, France

[2] Russian Acad Sci, Cent Econ & Math Inst, Moscow 117901, Russia

来源：

JOURNAL OF MATHEMATICAL ECONOMICS | 2001年 / 35卷 / 02期

关键词：

financial market; contingent claim; transaction cost; arbitrage; hedging; polyhedral cones;

D O I：

10.1016/S0304-4068(00)00064-1

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We consider a simple multi-asset discrete-time model of a currency market with transaction costs assuming the finite number of states of the nature. Defining two kinds of arbitrage opportunities we study necessary and sufficient conditions for the absence of arbitrage. Our main result is a natural extension of the Harrison-Pliska theorem on asset pricing. We prove also a hedging theorem without supplementary hypotheses. (C) 2001 Elsevier Science B.V. All rights reserved.

引用

页码：185 / 196

页数：12

共 50 条

[1] NO-ARBITRAGE AND EQUIVALENT MARTINGALE MEASURES - AN ELEMENTARY PROOF OF THE HARRISON-PLISKA THEOREM
KABANOV, YM
KRAMKOV, DO
[J]. THEORY OF PROBABILITY AND ITS APPLICATIONS, 1995, 39 (03) : 523 - 527
[2] Prospective strict no-arbitrage and the fundamental theorem of asset pricing under transaction costs
Christoph Kühn
Alexander Molitor
[J]. Finance and Stochastics, 2019, 23 : 1049 - 1077
[3] Prospective strict no-arbitrage and the fundamental theorem of asset pricing under transaction costs
Kuehn, Christoph
Molitor, Alexander
[J]. FINANCE AND STOCHASTICS, 2019, 23 (04) : 1049 - 1077
[4] The fundamental theorem of asset pricing under transaction costs
Guasoni, Paolo
Lepinette, Emmanuel
Rasonyi, Miklos
[J]. FINANCE AND STOCHASTICS, 2012, 16 (04) : 741 - 777
[5] The fundamental theorem of asset pricing under transaction costs
Paolo Guasoni
Emmanuel Lépinette
Miklós Rásonyi
[J]. Finance and Stochastics, 2012, 16 : 741 - 777
[6] General Arbitrage Pricing Model: II - Transaction Costs
Cherny, Alexander
[J]. SEMINAIRE DE PROBABILITES XL, 2007, 1899 : 447 - 461
[7] Fundamental Theorem of Asset Pricing Under Transaction Costs and Model Uncertainty
Bayraktar, Erhan
Zhang, Yuchong
[J]. MATHEMATICS OF OPERATIONS RESEARCH, 2016, 41 (03) : 1039 - 1054
[8] Fundamental Theorem of Asset Pricing under fixed and proportional transaction costs
Martin Brown
Tomasz Zastawniak
[J]. Annals of Finance, 2020, 16 : 423 - 433
[9] Fundamental Theorem of Asset Pricing under fixed and proportional transaction costs
Brown, Martin
Zastawniak, Tomasz
[J]. ANNALS OF FINANCE, 2020, 16 (03) : 423 - 433
[10] The fundamental theorem of asset pricing for continuous processes under small transaction costs
Guasoni P.
Rásonyi M.
Schachermayer W.
[J]. Annals of Finance, 2010, 6 (2) : 157 - 191

← 1 2 3 4 5 →