No arbitrage and closure results for trading cones with transaction costs
نویسندگان
چکیده
In this paper, we consider trading with proportional transaction costs as in Schachermayer’s paper of 2004. We give a necessary and sufficient condition for A, the cone of claims attainable from zero endowment, to be closed. Then we show how to define a revised set of trading prices in such a way that firstly, the corresponding cone of claims attainable for zero endowment, Ã, does obey the Fundamental Theorem of Asset Pricing and secondly, if à is arbitrage-free then it is the closure of A. We then conclude by showing how to represent claims. Final version: June 24, 2008
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ورودعنوان ژورنال:
- Finance and Stochastics
دوره 12 شماره
صفحات -
تاریخ انتشار 2008