英文标题：
《Fundamental Theorem of Asset Pricing under fixed and proportional
transaction costs》
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作者：
Martin Brown and Tomasz Zastawniak
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最新提交年份：
2019
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英文摘要：
We show that the lack of arbitrage in a model with both fixed and proportional transaction costs is equivalent to the existence of a family of absolutely continuous single-step probability measures, together with an adapted process with values between the bid-ask spreads that satisfies the martingale property with respect to each of the measures. This extends Harrison and Pliska\'s classical Fundamental Theorem of Asset Pricing to the case of combined fixed and proportional transaction costs.
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中文摘要：
我们证明，在一个既有固定交易成本又有比例交易成本的模型中，缺乏套利等价于存在一系列绝对连续的单步概率测度，以及一个具有满足每个测度鞅性质的买卖价差之间的值的适应过程。这将哈里森和普利斯卡的经典资产定价基本定理扩展到固定和比例交易成本的组合情况。
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分类信息：

一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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