On low dimensional case in the fundamental asset pricing theorem with transaction costs
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Pavel G. Grigoriev
Summary
The well-known Harrison–Plisse theorem claims that in the classical discrete time model of the financial market with finite Ω there is no arbitrage iff there exists an equivalent martingale measure. The famous Dalang–Morton–Willinger theorem extends this result for an arbitrary Ω. Kabanov and Stricker [KS01] generalized the Harrison–Pliska theorem for the case of the market with proportional transaction costs. Nevertheless the corresponding extension of the Kabanov and Stricker result to the case of non-finite Ω fails, the corresponding counter-example with 4 assets was constructed by Schachermayer [S04].
The main result of this paper is that in the special case of 2 assets the Kabanov and Stricker theorem can be extended for an arbitrary Ω. This is quite a surprising result since the corresponding cone of hedgeable claims ÂT is not necessarily closed.
© R. Oldenbourg Verlag, München
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- Optimal consumption strategies under model uncertainty
- Perpetual convertible bonds in jump-diffusion models
- On low dimensional case in the fundamental asset pricing theorem with transaction costs
- Optimal portfolios with expected loss constraints and shortfall risk optimal martingale measures
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Articles in the same Issue
- Optimal consumption strategies under model uncertainty
- Perpetual convertible bonds in jump-diffusion models
- On low dimensional case in the fundamental asset pricing theorem with transaction costs
- Optimal portfolios with expected loss constraints and shortfall risk optimal martingale measures
- Approximations of empirical probability generating processes
