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dc.contributor.authorJouini, Elyès
HAL ID: 6654
dc.contributor.authorNapp, Clotilde
HAL ID: 741006
ORCID: 0000-0002-7008-5949
dc.contributor.authorKallal, Hedi
dc.date.accessioned2011-01-28T15:54:34Z
dc.date.available2011-01-28T15:54:34Z
dc.date.issued2001-04
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/5593
dc.language.isoenen
dc.subjectArbitrageen
dc.subjectFixed costsen
dc.subjectAbsolutely continuous martingale measureen
dc.subjectContingent claims pricingen
dc.subjectViabilityen
dc.subject.ddc332en
dc.subject.classificationjelG11en
dc.subject.classificationjelD23en
dc.subject.classificationjelG12en
dc.titleArbitrage and viability in securities markets with fixed trading costsen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenThis paper studies foundational issues in securities markets models with fixed costs of trading, i.e. transactions costs that are bounded regardless of the transaction size, such as fixed brokerage fees, investment taxes, operational, and processing costs or opportunity costs. We show that the absence of free lunches in such models is equivalent to the existence of a family of absolutely continuous probability measures for which the normalized securities price processes are martingales. This is a weaker condition than the absence of free lunch in frictionless models, which is equivalent to the existence of an equivalent martingale measure. We also show that the only arbitrage-free pricing rules on the set of attainable contingent claims are those that are equal to the sum of an expected value with respect to any absolutely continuous martingale measure and of a bounded fixed cost functional. Moreover, these pricing rules are the only ones to be viable as models of economic equilibrium.en
dc.relation.isversionofjnlnameJournal of Mathematical Economics
dc.relation.isversionofjnlvol35en
dc.relation.isversionofjnlissue2en
dc.relation.isversionofjnldate2001-04
dc.relation.isversionofjnlpages197-221en
dc.relation.isversionofdoihttp://dx.doi.org/10.1016/S0304-4068(00)00065-3en
dc.description.sponsorshipprivatenonen
dc.relation.isversionofjnlpublisherElsevieren
dc.subject.ddclabelEconomie financièreen


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