## 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 language | English |
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Number of pages | 13 |

Journal | Decisions in Economics and Finance |

Early online date | 12 Mar 2024 |

DOIs | |

Publication status | E-pub ahead of print - 12 Mar 2024 |