Arbitrage Pricing Under Transaction Costs: Continuous Time
Université Paris-Dauphine - CEREMADE
April 12, 2012
Recent Advances in Financial Engineering, World Scientific, Forthcoming
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: G11Accepted Paper Series
Date posted: April 13, 2012
© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.
This page was processed by apollo3 in 0.500 seconds