Title :
No-Arbitrage and State Prices in Frictional Markets
Author :
Dong, Hongbin ; Zhang, Yuqin
Author_Institution :
China Inst. for Actuarial Sci., Center Univ. of Finance & Econ., Beijing, China
Abstract :
In this paper, we extend the martingale analysis of no-arbitrage pricing with transaction costs, bid-ask spreads and taxes. We establish the equivalence of a no-arbitrage condition for the existence of different shadow prices of certain optimal problems and obtain a characterization of state prices based on the absence of arbitrage.
Keywords :
pricing; stochastic processes; taxation; frictional markets; martingale analysis; no-arbitrage pricing; state prices; transaction costs; Cost accounting; Economics; Finance; Friction; Portfolios; Pricing; Security;
Conference_Titel :
Computer and Management (CAMAN), 2011 International Conference on
Conference_Location :
Wuhan
Print_ISBN :
978-1-4244-9282-4
DOI :
10.1109/CAMAN.2011.5778877
