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| Tekijä: | Jouini, E. Kallal, H. |
| Otsikko: | Martingales and arbitrage in securities markets with transaction costs |
| Lehti: | Journal of Economic Theory
1995 : JUN, VOL. 66:1, p. 178-197 |
| Asiasana: | ECONOMICS THEORIES TRANSACTION COSTS |
| Kieli: | eng |
| Tiivistelmä: | The authors derive the implications from the absence of arbitrage in dynamic securities markets with bid-ask spreads. The absence of arbitrage is equivalent to the existence of at least an equivalent probability measure that transforms some process between the bid and the ask price processes of traded securities into a martingale. These martingale measures can be interpreted as possible linear pricing rules and can be used to determine the investment opportunities available in such an economy. |
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