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Article Dans Une Revue RECENT ADVANCES IN FINANCIAL ENGINEERING Année : 2008

Arbitrage Pricing Under Transaction Costs: Continuous Time

Résumé

We develop an abstract version of Arbitrage Pricing Theory for continuous-time models with transaction costs. Our result includes the financial model of Campi-Schachermayer.
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Dates et versions

hal-00700860 , version 1 (24-05-2012)

Identifiants

  • HAL Id : hal-00700860 , version 1

Citer

Emmanuel Denis. Arbitrage Pricing Under Transaction Costs: Continuous Time. RECENT ADVANCES IN FINANCIAL ENGINEERING, 2008, 2008 (2008), pp.91-106. ⟨hal-00700860⟩
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