Dynamic Arbitrage-free Asset Pricing with Proportional Transaction Costs
This paper studies arbitrage-free conditions for multiperiod asset pricing in frictional financial markets with proportional transaction costs. We consider the Euclidean space for weakly arbitrage-free security markets and strongly arbitrage-free security markets, and establish the weakly arbitrage-free pricing theorem and the strongly arbitrage-free pricing theorem.
Citation of this paper:
Deng, Xiaotie; Chunlei Xu; and Shunming Zhang. "Dynamic Arbitrage-free Asset Pricing with Proportional Transaction Costs." Department of Economics Research Reports, (2000).