Asset pricing and hedging in financial markets with fixed and proportional transaction costs

Esmaeil Babaei ()
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Esmaeil Babaei: The Manchester Metropolitan University

Annals of Finance, 2024, vol. 20, issue 2, No 4, 259-275

Abstract: Abstract We establish the asset pricing and hedging principle in a financial market model, which is a specific case of the von Neumann-Gale dynamical system, with both fixed and proportional transaction costs and trading constraints. The main results are hedging criteria stated in terms of consistent valuation systems, generalizing the notion of an equivalent martingale measure.

Keywords: Von Neumann–Gale dynamical systems; Asset pricing; Hedging; Consistent valuation systems; Transaction costs; Portfolio constraints (search for similar items in EconPapers)
JEL-codes: C61 C65 C67 G10 G12 G13 (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s10436-024-00441-w

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