The Harrison–Pliska arbitrage pricing theorem under transaction costs
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.
展开
DOI：
10.1016/S0304-4068(00)00064-1
年份：
2001
相似文献
参考文献
引证文献
辅助模式
0
引用
文献可以批量引用啦~
欢迎点我试用！
