Jouini, Elyès; Kallal, Hedi - Université Paris-Dauphine (Paris IX) - 1999
frictions by letting the set of marketed contingent claims (the opportunity set) be a convex set, and the pricing rule at which … is equivalent to the existence of a positive lineaar pricing rule on the entirespace of contingent claims—an underlying … frictionless linear pricing rule—that lies below the convex pricing rule on the set of marketed claims. This is also equivalent to …