The fundamental theorem of asset pricing under proportional transaction costs in finite discrete time

We prove a version of the Fundamental Theorem of Asset Pricing, which applies to Kabanov's approach to foreign exchange markets under transaction costs. The financial market is modelled by a d x d matrix-valued stochastic process Sigma_t_t=0^T specifying the mutual bid and ask prices between d assets.(...)

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Year of publication:	2002-02-01
Authors:	Schachermayer, Walter
Publisher:	Wirtschaftsuniversität <Wien>
Subject:	Capital-Asset-Pricing-Modell \| Arbitrage \| Devisenmarkt

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Extent:	314368 bytes 30 p. application/pdf
Series:	Universitätsbibliothek Wien - Institut für Informationsverarbeitung - Working Papers Working Papers SFB Adaptive Information Systems and Modelling in Economics and Management Science ; 2002, 87
Type of publication:	Book / Working Paper
Language:	English
Classification:	G10 - General Financial Markets. General ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing ; Financial theory ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005844799