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SPEPS Preprint

Author(s): Markku Kallio, Helsinki School of Economics
William T. Ziemba, University of British Columbia, Vancouver
Title: Arbitrage pricing simplified
Date of Acceptance: 30.09.2003
Submission Date: 27.07.2003
Series Title: Stochastic Programming E-Print Series
(SPEPS)
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
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Abstract (eng):
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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