交易成本下资产定价的基本定理及模型

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英文标题：
《Fundamental Theorem of Asset Pricing under Transaction costs and Model
  uncertainty》
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作者：
Erhan Bayraktar and Yuchong Zhang
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最新提交年份：
2015
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英文摘要：
  We prove the Fundamental Theorem of Asset Pricing for a discrete time financial market where trading is subject to proportional transaction cost and the asset price dynamic is modeled by a family of probability measures, possibly non-dominated. Using a backward-forward scheme, we show that when the market consists of a money market account and a single stock, no-arbitrage in a quasi-sure sense is equivalent to the existence of a suitable family of consistent price systems. We also show that when the market consists of multiple dynamically traded assets and satisfies \\emph{efficient friction}, strict no-arbitrage in a quasi-sure sense is equivalent to the existence of a suitable family of strictly consistent price systems.
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中文摘要：
我们证明了离散时间金融市场的资产定价基本定理，其中交易服从比例交易成本，资产价格动态由一系列概率测度建模，可能是非占优的。利用一个向后-向前方案，我们证明了当市场由一个货币市场账户和一只股票组成时，准确定意义上的无套利等价于一个合适的一致价格系统族的存在。我们还证明了当市场由多个动态交易资产组成且满足有效摩擦时，准确定意义上的严格无套利等价于一个适当的严格一致价格系统族的存在。
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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：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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关键词：交易成本 资产定价 proportional Differential Quantitative