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.
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.
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