Arbitrage Pricing Under Transaction Costs: Continuous Time

Emmanuel Denis

Arbitrage Pricing Under Transaction Costs: Continuous Time

2009

Emmanuel Denis

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:

Investment theory
Mathematical finance
Market microstructure
Business
Financial economics
Risk arbitrage
Arbitrage
Variable pricing
Arbitrage pricing theory
Rational pricing
Mathematical economics

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