NO-ARBITRAGE PRICING FOR DIVIDEND-PAYING SECURITIES IN DISCRETE-TIME MARKETS WITH TRANSACTION COSTS

被引：5

作者：

Bielecki, Tomasz R. ^{[1
]}

Cialenco, Igor ^{[1
]}

Rodriguez, Rodrigo ^{[1
]}

机构：

[1] IIT, Chicago, IL 60616 USA

来源：

MATHEMATICAL FINANCE | 2015年 / 25卷 / 04期

基金：

美国国家科学基金会;

关键词：

arbitrage; fundamental theorem of asset pricing; transaction costs; consistent pricing system; liquidity; dividends; credit default swaps; interest rate swaps; FUNDAMENTAL THEOREM; SUPER-REPLICATION; FINANCIAL-MARKETS; CRITERIA; INFORMATION; PROOF; MODEL;

D O I：

10.1111/mafi.12038

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We prove a version of First Fundamental Theorem of Asset Pricing under transaction costs for discrete-time markets with dividend-paying securities. Specifically, we show that the no-arbitrage condition under the efficient friction assumption is equivalent to the existence of a risk-neutral measure. We derive dual representations for the superhedging ask and subhedging bid price processes of a contingent claim contract. Our results are illustrated with a vanilla credit default swap contract.

引用

页码：673 / 701

页数：29

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