• DocumentCode
    3303783
  • 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
  • fYear
    2011
  • fDate
    19-21 May 2011
  • Firstpage
    1
  • Lastpage
    4
  • 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;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Computer and Management (CAMAN), 2011 International Conference on
  • Conference_Location
    Wuhan
  • Print_ISBN
    978-1-4244-9282-4
  • Type

    conf

  • DOI
    10.1109/CAMAN.2011.5778877
  • Filename
    5778877
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=3303783