No-Arbitrage Pricing of Securities Under Transaction Costs

2016 ◽  
Author(s):  
Silke Prohl
Keyword(s):  
Transaction Costs ◽  
Arbitrage Pricing ◽  
No Arbitrage

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

2013 ◽  
Vol 25 (4) ◽  
pp. 673-701 ◽  
Author(s):  
Tomasz R. Bielecki ◽  
Igor Cialenco ◽  
Rodrigo Rodriguez
Keyword(s):  
Transaction Costs ◽  
Discrete Time ◽  
Arbitrage Pricing ◽  
No Arbitrage

scholarly journals No-Arbitrage pricing of GDP-Linked bonds

2021 ◽  
Vol 126 ◽  
pp. 106075
Author(s):  
Fernando Eguren Martin ◽  
Andrew Meldrum ◽  
Wen Yan
Keyword(s):  
Arbitrage Pricing ◽  
No Arbitrage

scholarly journals Geometric No-Arbitrage Analysis in the Dynamic Financial Market with Transaction Costs

2019 ◽  
Vol 12 (1) ◽  
pp. 26
Author(s):  
Wanxiao Tang ◽  
Jun Zhao ◽  
Peibiao Zhao
Keyword(s):  
Transaction Costs ◽  
Financial Market ◽  
Expected Utility ◽  
Maximization Problem ◽  
No Arbitrage ◽  
The One

The present paper considers a class of financial market with transaction costs and constructs a geometric no-arbitrage analysis frame. Then, this paper arrives at the fact that this financial market is of no-arbitrage if and only if the curvature 2-form of a specific connection is zero. Furthermore, this paper derives the fact that the no-arbitrage condition for the one-period financial market is equivalent to the geometric no-arbitrage condition. Finally, an example states the equivalence between the geometric no-arbitrage condition and the existence of the solutions for a maximization problem of expected utility.

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