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Arbitrage Pricing Under Transaction Costs: Continuous Time

Lépinette, Emmanuel (2009), Arbitrage Pricing Under Transaction Costs: Continuous Time, in Kijima‎, Masaaki; Kabanov‎, Yuri, Recent advances in financial engineering‎, proceedings of the 2008 Daiwa International Workshop on Financial Engineering, WORLD SCIENTIFIC, p. 91-106

Type
Communication / Conférence
Date
2009
Conference title
Daiwa International Workshop on Financial Engineering
Conference date
2008-07
Conference city
Tokyo
Conference country
Japon
Book title
Recent advances in financial engineering‎, proceedings of the 2008 Daiwa International Workshop on Financial Engineering
Book author
Kijima‎, Masaaki; Kabanov‎, Yuri
Publisher
WORLD SCIENTIFIC
ISBN
978-981-427346-6
Number of pages
230
Pages
91-106
Metadata
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Author(s)
Lépinette, Emmanuel
Abstract (EN)
We develop an abstract version of Arbitrage Pricing Theory for continuous-time models with transaction costs. Our results includes the financial -model of Campi and Schachermayer.
Subjects / Keywords
General arbitrage; Random cones; Continuous trading; Hedging theorem
JEL
D23 - Organizational Behavior; Transaction Costs; Property Rights
G12 - Asset Pricing; Trading Volume; Bond Interest Rates