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Fundamental Theorem of Asset Pricing under fixed and proportional costs in multi-asset setting and finite probability space

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  • Tomasz Zastawniak

    (University of York)

Abstract

The Fundamental Theorem of Asset Pricing is extended to a market model over a finite probability space with many assets that can be exchanged into one another under combined fixed and proportional transaction costs. The absence of arbitrage in this setting is shown to be equivalent to the existence of a family of absolutely continuous single-step probability measures and a multi-dimensional martingale with respect to such a family.

Suggested Citation

  • Tomasz Zastawniak, 2024. "Fundamental Theorem of Asset Pricing under fixed and proportional costs in multi-asset setting and finite probability space," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 47(1), pages 137-149, June.
    • Handle: RePEc:spr:decfin:v:47:y:2024:i:1:d:10.1007_s10203-024-00439-z
    DOI: 10.1007/s10203-024-00439-z
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    References listed on IDEAS

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