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Arbitrage Pricing Under Transaction Costs: Continuous Time

In: Recent Advances In Financial Engineering

Author

Listed:
  • Emmanuel Denis

    (School of Management, Boston University, USA)

Abstract

We develop an abstract version of Arbitrage Pricing Theory for continuous-time models with transaction costs. Our results includes the financial $\mathcal Y$-model of Campi and Schachermayer.

Suggested Citation

  • Emmanuel Denis, 2009. "Arbitrage Pricing Under Transaction Costs: Continuous Time," World Scientific Book Chapters, in: Masaaki Kijima & Masahiko Egami & Kei-ichi Tanaka & Yukio Muromachi (ed.), Recent Advances In Financial Engineering, chapter 5, pages 91-106, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814273473_0005
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