Asset pricing and hedging in financial markets with fixed and proportional transaction costs

IF 0.8 Q4 BUSINESS, FINANCE

Annals of Finance Pub Date : 2024-05-15 DOI:10.1007/s10436-024-00441-w

Esmaeil Babaei

引用次数: 0

Abstract

We establish the asset pricing and hedging principle in a financial market model, which is a specific case of the von Neumann-Gale dynamical system, with both fixed and proportional transaction costs and trading constraints. The main results are hedging criteria stated in terms of consistent valuation systems, generalizing the notion of an equivalent martingale measure.

查看原文本刊更多论文

具有固定和比例交易成本的金融市场中的资产定价和套期保值

我们在一个金融市场模型中建立了资产定价和对冲原理，该模型是 von Neumann-Gale 动力系统的一个特例，具有固定和比例交易成本及交易约束。主要结果是用一致估值系统来表述对冲标准，概括了等效马氏计量的概念。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Annals of Finance BUSINESS, FINANCE-

CiteScore

2.00

自引率

10.00%

发文量

期刊介绍： Annals of Finance provides an outlet for original research in all areas of finance and its applications to other disciplines having a clear and substantive link to the general theme of finance. In particular, innovative research papers of moderate length of the highest quality in all scientific areas that are motivated by the analysis of financial problems will be considered. Annals of Finance''s scope encompasses - but is not limited to - the following areas: accounting and finance, asset pricing, banking and finance, capital markets and finance, computational finance, corporate finance, derivatives, dynamical and chaotic systems in finance, economics and finance, empirical finance, experimental finance, finance and the theory of the firm, financial econometrics, financial institutions, mathematical finance, money and finance, portfolio analysis, regulation, stochastic analysis and finance, stock market analysis, systemic risk and financial stability. Annals of Finance also publishes special issues on any topic in finance and its applications of current interest. A small section, entitled finance notes, will be devoted solely to publishing short articles – up to ten pages in length, of substantial interest in finance. Officially cited as: Ann Finance