Dynamic Arbitrage-free Asset Pricing with Proportional Transaction Costs

Xiaotie Deng, Chunlei Xu and Shunming Zhang
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Shunming Zhang: The University of Western Ontario Department of Economics, http://www.ssc.uwo.ca/economics/

No 200013, UWO Department of Economics Working Papers from University of Western Ontario, Department of Economics

Abstract: This paper studies arbitrage-free conditions for multiperiod asset pricing in frictional financial markets with proportional transaction costs. We consider the Euclidean space for weakly arbitrage-free security markets and Strongly arbitrage-free security markets, and establish the weakly arbitrage-free pricing theorem and the strongly arbitrage-free pricing theorem.

Date: 2000

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