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dc.contributor.authorKallal, Hedi
dc.contributor.authorJouini, Elyès
dc.date.accessioned2011-02-01T15:34:08Z
dc.date.available2011-02-01T15:34:08Z
dc.date.issued1995-06
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/5630
dc.language.isoenen
dc.subjectInvestmenten
dc.subjectlinear pricing rulesen
dc.subjectbid-ask spreadsen
dc.subject.ddc332en
dc.subject.classificationjelG11en
dc.subject.classificationjelG12en
dc.subject.classificationjelG13en
dc.subject.classificationjelD52en
dc.subject.classificationjelD90en
dc.titleMartingales and arbitrage in securities markets with transaction costsen
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherNew York University, Department of Finance;États-Unis
dc.description.abstractenWe derive the implications from the absence of arbitrage in dynamic securities markets with bid-ask spreads. The absence of arbitrage is equivalent to the existence of at least an equivalent probability measure that transforms some process between the bid and the ask price processes of traded securities into a martingale. The martingale measures can be interpreted as possible linear pricing rules and can be used to determine the investment opportunities available in such an economy. The minimum cost at which a contingent claim can be obtained through securities trading is its largest expected value with respect to the martingale measures.en
dc.relation.isversionofjnlnameJournal of Economic Theory
dc.relation.isversionofjnlvol66en
dc.relation.isversionofjnlissue1en
dc.relation.isversionofjnldate1995-06
dc.relation.isversionofjnlpages178-197en
dc.relation.isversionofdoihttp://dx.doi.org/10.1006/jeth.1995.1037en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherElsevieren
dc.subject.ddclabelEconomie financièreen


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