Fundamental Theorem of Asset Pricing under fixed and proportional transaction costs

被引：0

作者：

Martin Brown

Tomasz Zastawniak

机构：

[1] University of York,Department of Mathematics

来源：

Annals of Finance | 2020年 / 16卷

关键词：

Arbitrage; Transaction costs; Martingale measure; C00; C61; C65; G10;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

We show that the absence of arbitrage in a model with both fixed and proportional transaction costs is equivalent to the existence of a family of absolutely continuous single-step probability measures, together with an adapted process with values within the bid-ask intervals that satisfies the martingale property with respect to each of the measures. This extends Harrison and Pliska’s classical Fundamental Theorem of Asset Pricing to the case of combined fixed and proportional transaction costs.

引用

页码：423 / 433

页数：10

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