Characterizations of No-Arbitrage in Frictional Markets by Optimality
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.
No-arbitrage shadow prices transaction costs bid-ask spreads taxes
Hongbin Dong
Faculty of China Institute for Actuarial Science, Center University of Finance and Economy, Beijing 100081, China
国际会议
2011 China Control and Decision Conference(2011中国控制与决策会议 CCDC)
四川绵阳
英文
3365-3370
2011-05-23(万方平台首次上网日期,不代表论文的发表时间)