The Fundamental Theorem of Asset Pricing with either Frictionless or Frictional Security Markets ()
Affiliation(s)
ABSTRACT
This paper studies asset pricing in arbitrage-free financial markets in general state space (both for frictionless market and for market with transaction cost). The mathematical formulation is based on a locally convex topological space for weakly arbitrage-free securities’ structure and a separable Banach space for strictly arbitrage-free securities’ structure. We establish, for these two types of spaces, the weakly arbitrage-free pricing theorem and the strictly arbitrage-free pricing theorem, respectively.
KEYWORDS
Share and Cite:
Copyright © 2024 by authors and Scientific Research Publishing Inc.
This work and the related PDF file are licensed under a Creative Commons Attribution 4.0 International License.