2002•Mathematical FinanceOpen access

Dynamic Arbitrage‐Free Asset Pricing with Proportional Transaction Costs

Shunming Zhang, Chunlei Xu, Xiaotie Deng

Abstract

This paper studies multiperiod asset pricing theory in arbitrage‐free financial markets with proportional transaction costs. The mathematical formulation is based on a Euclidean space for weakly arbitrage‐free security markets and strongly arbitrage‐free security markets. We establish the weakly arbitrage‐free pricing theorem and the strongly arbitrage‐free pricing theorem.

About this research paper

What this paper is about

Why it matters

OpenAlex reports 2 citations for this work. Citation counts describe recorded attention and do not establish research quality.

Key contribution

A contribution statement is not available in the OpenAlex record.

Method / approach

Method details are not available in the OpenAlex metadata.

Main findings

Findings are not separately available in the OpenAlex metadata.

Limitations

Limitations are not available in the OpenAlex metadata.

Applications

Application details are not available in the OpenAlex metadata.

Available abstract

Key concepts: Arbitrage, Arbitrage pricing theory, Risk arbitrage, Fixed income arbitrage, Fundamental theorem of asset pricing, Index arbitrage, Investment theory, Variable pricing