General arbitrage pricing model: II - Transaction costs

Lecture Notes in Mathematics

Volumn 1899, Issue , 2007, Pages 447-461

  Cherny, Alexander ^a  

^a MOSCOW STATE UNIVERSITY   (Russian Federation)

Author keywords

Delta martingale; Fair price; Fundamental theorem of asset pricing; General arbitrage pricing model; Generalized arbitrage; Risk neutral measure; Set of attainable incomes; Transaction costs

Indexed keywords

EID: 34547532194     PISSN: 00758434     EISSN: None     Source Type: Book Series    
DOI: 10.1007/978-3-540-71189-6_24     Document Type: Article

References (25)

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