MARTINGALES AND ARBITRAGE IN SECURITIES MARKETS WITH TRANSACTION COSTS
成果类型：
Article
署名作者：
JOUINI, E; KALLAL, H
署名单位：
New York University
刊物名称：
JOURNAL OF ECONOMIC THEORY
ISSN/ISSBN：
0022-0531
DOI：
10.1006/jeth.1995.1037
发表日期：
1995
页码：
178-197
关键词：
摘要：
We derive the implications from the absence of arbitrage in dynamic securities markets with bid-ask spreads. The absence of arbitrage is equivalent to the existence of at least an equivalent probability measure that transforms some process between the bid and the ask price processes of traded securities into a martingale. These martingale measures can be interpreted as possible linear pricing rules and can be used to determine the investment opportunities available in such an economy. The minimum cost at which a contingent claim can be obtained through securities trading is its largest expected value with respect to the martingale measures. Journal of Economic Literature Classification Numbers: G11, G12, G13, D52, and D90. (C) 1995 Academic Press, Inc.