Arbitrage Pricing Under Transaction Costs: Continuous Time
CEREMADE, UMR CNRS 7534, Paris-Dauphine University.
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
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