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

Babaei, Esmaeil ORCID: https://orcid.org/0000-0002-1607-2338 (2024) Asset pricing and hedging in financial markets with fixed and proportional transaction costs. Annals of Finance, 20 (2). pp. 259-275. ISSN 1614-2446

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Official URL: http://dx.doi.org/10.1007/s10436-024-00441-w

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.

Item Type:	Article (Article)
Peer-reviewed:	Yes
Date Deposited:	12 Jun 2024 10:22
Publisher:	Springer
Additional Information:	This is an open access article which first appeared in Annals of Finance
Divisions:	Faculties > Science and Engineering
Subject terms:	1502 Banking, Finance and Investment, Finance
URI:	https://e-space.mmu.ac.uk/id/eprint/634852
DOI:	https://doi.org/10.1007/s10436-024-00441-w
ISSN	1614-2446
e-ISSN	1614-2454

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