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. 2001 Elsevier Science B.V. All rights reserved. Subj. Class.:60G44 JEL classification:G13; G11
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年份：
2015
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