Dynamic Arbitrage-free Asset Pricing with Proportional Transaction Costs

Xiaotie Deng, Chunlei Xu and Shunming Zhang ()

No 200013, University of Western Ontario, Departmental Research Report Series 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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