Arbitrage Pricing Under Transaction Costs: Continuous Time

Emmanuel Denis
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Emmanuel Denis: School of Management, Boston University, USA

Chapter 5 in Recent Advances in Financial Engineering, 2009, pp 91-106 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractWe develop an abstract version of Arbitrage Pricing Theory for continuous-time models with transaction costs. Our results includes the financial $\mathcal Y$-model of Campi and Schachermayer.

Keywords: Financial Engineering; Mathematical Finance; Real Options; Credit Risk; Option Pricing; Transaction Cost; Market Microstructure (search for similar items in EconPapers)
Date: 2009
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