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

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