Fundamental Theorem of Asset Pricing under fixed and proportional costs in multi-asset setting and finite probability space

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Abstract

The Fundamental Theorem of Asset Pricing is extended to a market model over a finite probability space with many assets that can be exchanged into one another under combined fixed and proportional transaction costs. The absence of arbitrage in this setting is shown to be equivalent to the existence of a family of absolutely continuous single-step probability measures and a multi-dimensional martingale with respect to such a family.
Original languageEnglish
Number of pages13
JournalDecisions in Economics and Finance
Early online date12 Mar 2024
DOIs
Publication statusE-pub ahead of print - 12 Mar 2024

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© The Author(s) 2024

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