کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
966447 930967 2007 17 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
No arbitrage conditions and liquidity
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
No arbitrage conditions and liquidity
چکیده انگلیسی
We extend the fundamental theorem of asset pricing to the case of markets with liquidity risk. Our results generalize, when the probability space is finite, those obtained by Kabanov et al. [Kabanov, Y., Stricker, C., 2001. The Harrison-Pliska arbitrage pricing theorem under transaction costs. Journal of Mathematical Economics 35, 185-196; Kabanov, Y., Rásonyi, M., Stricker, C., 2002. No-arbitrage criteria for financial markets with efficient friction. Finance and Stochastics 6, 371-382; Kabanov, Y., Rásonyi, M., Stricker, C., 2003. On the closedness of sums of convex cones in L0 and the robust no-arbitrage property. Finance and Stochastics] and by Schachermayer [Schachermayer, W., 2004. The fundamental theorem of asset pricing under poportional transaction costs in finite discrete time. Mathematical Finance 14 (1), 19-48] for markets with proportional transaction costs. More precisely, we restate the notions of consistent and strictly consistent price systems and prove their equivalence to corresponding no arbitrage conditions. We express these results in an analytical form in terms of the subdifferential of the so-called liquidation function. We conclude the paper with a hedging theorem.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Mathematical Economics - Volume 43, Issue 6, August 2007, Pages 692-708
نویسندگان
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