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Friction market with convex transaction costs in the non- arbitrage asset pricing

Author: HuYanLi
Tutor: ZhaoPeiBiao
School: Nanjing University of Technology and Engineering
Course: Applied Mathematics
Keywords: Arbitrage asset pricing Almost no arbitrage pricing Proportional transaction costs Convex transaction fees Single period of stock market Multi-period securities market .
CLC: F830
Type: Master's thesis
Year: 2010
Downloads: 49
Quote: 0
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Abstract


No-arbitrage asset pricing has been one of the important issues of financial studies , the results of their research is quite fruitful . In recent years , scholars have focused their attention in single- phase and multi - period securities markets into the asset pricing problem in the case of proportional transaction costs proportional transaction costs in case of no-arbitrage asset pricing model . No-arbitrage asset pricing in multi - period securities markets with convex transaction fee for \This article intends to conduct research on these two issues . First, given the classic no - arbitrage principle extended constructed \exist the convex transaction fee friction of the securities market in the no-arbitrage asset pricing theory is extended to multi-period securities market , given the results of the corresponding class in the proportional transaction costs in the case of no-arbitrage pricing . The results of this article is new , partial results can be regarded as a natural extension of the existing no-arbitrage asset pricing , has some economic significance .

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