Asset pricing and hedging in financial markets with fixed and proportional transaction costs

被引：1

作者：

Babaei, Esmaeil ^{[1
]}

机构：

[1] Manchester Metropolitan Univ, Dept Comp & Math, Manchester M1 5GD, England

来源：

ANNALS OF FINANCE | 2024年 / 20卷 / 02期

关键词：

Von Neumann-Gale dynamical systems; Asset pricing; Hedging; Consistent valuation systems; Transaction costs; Portfolio constraints; G10; G12; G13; C61; C65; C67; NEUMANN-GALE DYNAMICS; SECURITIES MARKETS; COMPETITIVE PRICES; ARBITRAGE; PORTFOLIO; VIABILITY; THEOREM; MODEL; TIME;

D O I：

10.1007/s10436-024-00441-w

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We establish the asset pricing and hedging principle in a financial market model, which is a specific case of the von Neumann-Gale dynamical system, with both fixed and proportional transaction costs and trading constraints. The main results are hedging criteria stated in terms of consistent valuation systems, generalizing the notion of an equivalent martingale measure.

引用

页码：259 / 275

页数：17

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