|edoc-Server der Humboldt-Universität zu Berlin|
Markku Kallio, Helsinki School of Economics|
William T. Ziemba, University of British Columbia, Vancouver
|Title:||Arbitrage pricing simplified|
|Date of Acceptance:||30.09.2003|
Stochastic Programming E-Print Series |
|Editors:||Julie L. Higle; Werner Römisch; Surrajeet Sen|
|Complete Preprint:||pdf (urn:nbn:de:kobv:11-10059218)|
|Keywords (eng):||Asset Pricing, Arbitrage Theory, Derivative Pricing, Options Pricing, Incomplete Markets, Imperfect Markets|
|Metadata export: To export the complete metadata set as Endote or Bibtex format please click to the appropriate link.||Endnote Bibtex|
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|The paper derives fundamental arbitrage pricing results in finite dimensions in a simple unified framework using Tucker's theorem of the alternative. Frictionless results plus those with dividends, periodic interest payments, transaction costs, different interest rates for lending and borrowing, shorting costs and constrained short selling are presented. While the results are mostly known and appear in various places, our contribution is to present them in a coherent and comprehensive fashion with very simple proofs. The analysis yields a simple procedure to prove new results and some are presented for cases with frictions.|
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