Arbitrage Pricing Under Transaction Costs : Continuous Time
| Year of publication: |
2012
|
|---|---|
| Authors: | Lepinette, Emmanuel |
| Publisher: |
[2012]: [S.l.] : SSRN |
| Subject: | Transaktionskosten | Transaction costs | Arbitrage Pricing | Arbitrage pricing | CAPM | Optionspreistheorie | Option pricing theory |
| Description of contents: |
We develop an abstract version of Arbitrage Pricing Theory for continuous-time models with transaction costs. Our result includes the financial model of Campi-Schachermayer
|
| Extent: | 1 Online-Ressource (16 p) |
|---|---|
| Type of publication: | Book / Working Paper |
| Language: | English |
| Notes: | In: Recent Advances in Financial Engineering, World Scientific, Forthcoming Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 12, 2012 erstellt |
| Classification: | G11 - Portfolio Choice |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013107814