DocumentCode
2523257
Title
Characterizations of no-arbitrage in frictional markets by optimality
Author
Dong, Hongbin
Author_Institution
Fac. of China Inst. for Actuarial Sci., Center Univ. of Finance & Econ., Beijing, China
fYear
2011
fDate
23-25 May 2011
Firstpage
3356
Lastpage
3361
Abstract
In this paper, we extend the martingale analysis of no-arbitrage pricing with transaction costs, bid-ask spreads and taxes. We also establish the equivalence of a no-arbitrage condition for the existence of different shadow prices of certain optimal problem, and give a further characterization of no-arbitrage by means of the duality theory of optimization.
Keywords
commerce; optimisation; pricing; duality theory; frictional markets; martingale analysis; no-arbitrage pricing; optimality; optimization; transaction costs; Cost function; Finance; Friction; Games; Investments; Portfolios; No-arbitrage; bid-ask spreads; shadow prices; taxes; transaction costs;
fLanguage
English
Publisher
ieee
Conference_Titel
Control and Decision Conference (CCDC), 2011 Chinese
Conference_Location
Mianyang
Print_ISBN
978-1-4244-8737-0
Type
conf
DOI
10.1109/CCDC.2011.5968838
Filename
5968838
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