Title :
Characterizations of no-arbitrage in frictional markets by optimality
Author_Institution :
Fac. of China Inst. for Actuarial Sci., Center Univ. of Finance & Econ., Beijing, China
Abstract :
In this paper, we extend the martingale analysis of no-arbitrage pricing with transaction costs, bid-ask spreads and taxes. We also establish the equivalence of a no-arbitrage condition for the existence of different shadow prices of certain optimal problem, and give a further characterization of no-arbitrage by means of the duality theory of optimization.
Keywords :
commerce; optimisation; pricing; duality theory; frictional markets; martingale analysis; no-arbitrage pricing; optimality; optimization; transaction costs; Cost function; Finance; Friction; Games; Investments; Portfolios; No-arbitrage; bid-ask spreads; shadow prices; taxes; transaction costs;
Conference_Titel :
Control and Decision Conference (CCDC), 2011 Chinese
Conference_Location :
Mianyang
Print_ISBN :
978-1-4244-8737-0
DOI :
10.1109/CCDC.2011.5968838
