Characterizations of No-Arbitrage in Frictional Markets by Optimality

摘要：

In this paper, we extend the martingale analysis of no-arbitrage pricing with transaction costs, bid-ask spreads and taxes. We also establish the equivalence of a no-arbitrage condition for the existence of different shadow prices of certain optimal problem, and give a further characterization of noarbitrage by means of the duality theory of optimization.

关键词： No-arbitrage shadow prices transaction costs bid-ask spreads taxes

作者: Hongbin Dong

作者单位: Faculty of China Institute for Actuarial Science, Center University of Finance and Economy, Beijing 100081, China

会议类型: 国际会议

会议名称: 2011 China Control and Decision Conference(2011中国控制与决策会议 CCDC)

会议地点: 四川绵阳

会议语种:英文

页码: 3365-3370

在线出版日期: 2011-05-23（万方平台首次上网日期，不代表论文的发表时间）