Sass, Jörn; Smaga, Martin - In: Finance and Stochastics 18 (2014) 4, pp. 805-823
<Para ID="Par1">The aim of this paper is to prove the fundamental theorem of asset pricing (FTAP) in finite discrete time with proportional transaction costs by utility maximization. The idea goes back to L.C.G. Rogers’ proof of the classical FTAP for a model without transaction costs. We consider one risky...</para>
