Title

Dynamic Arbitrage-free Asset Pricing with Proportional Transaction Costs

Document Type

Report

Publication Date

9-2000

Abstract

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.