Abstract

http://ssrn.com/abstract=2038774
 
 

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Arbitrage Pricing Under Transaction Costs: Continuous Time


Emmanuel Lepinette


Université Paris-Dauphine - CEREMADE

April 12, 2012

Recent Advances in Financial Engineering, World Scientific, Forthcoming

Abstract:     
We develop an abstract version of Arbitrage Pricing Theory for continuous-time models with transaction costs. Our result includes the financial model of Campi-Schachermayer.

Number of Pages in PDF File: 16

Keywords: general arbitrage, random cones, continuous trading, hedging theorem

JEL Classification: G11

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Date posted: April 13, 2012  

Suggested Citation

Lepinette, Emmanuel, Arbitrage Pricing Under Transaction Costs: Continuous Time (April 12, 2012). Recent Advances in Financial Engineering, World Scientific, Forthcoming. Available at SSRN: http://ssrn.com/abstract=2038774

Contact Information

Emmanuel Lepinette (Contact Author)
Université Paris-Dauphine - CEREMADE ( email )
Place du Marechal de Lattre de Tassigny
Paris Cedex 16, 75775
France
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References:  13

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