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On the density of properly maximal claims in financial markets with transaction costs
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Jacka, Saul D. and Berkaoui, Abdelkarem (2007) On the density of properly maximal claims in financial markets with transaction costs. Annals of Applied Probability, Vol.17 (No.2). pp. 716-740. doi:10.1214/105051606000000880 ISSN 1050-5164.
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Official URL: http://dx.doi.org/10.1214/105051606000000880
Abstract
We consider trading in a financial market with proportional transaction costs. In the frictionless case, claims are maximal if and only if they are priced by a consistent price process-the equivalent of an equivalent martingale measure. This result fails in the presence of transaction costs. A properly maximal claim is one which does have this property. We show that the properly maximal claims are dense in the set of maximal claims (with the topology of convergence in probability).
Item Type: | Journal Article | ||||
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Subjects: | Q Science > QA Mathematics | ||||
Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | ||||
Journal or Publication Title: | Annals of Applied Probability | ||||
Publisher: | Institute of Mathematical Statistics | ||||
ISSN: | 1050-5164 | ||||
Official Date: | April 2007 | ||||
Dates: |
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Volume: | Vol.17 | ||||
Number: | No.2 | ||||
Number of Pages: | 25 | ||||
Page Range: | pp. 716-740 | ||||
DOI: | 10.1214/105051606000000880 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access |
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