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 JMF  Vol.4 No.2 , February 2014
The Fundamental Theorem of Asset Pricing with either Frictionless or Frictional Security Markets
Abstract: This paper studies asset pricing in arbitrage-free financial markets in general state space (both for frictionless market and for market with transaction cost). The mathematical formulation is based on a locally convex topological space for weakly arbitrage-free securities’ structure and a separable Banach space for strictly arbitrage-free securities’ structure. We establish, for these two types of spaces, the weakly arbitrage-free pricing theorem and the strictly arbitrage-free pricing theorem, respectively.
Cite this paper: H. Huang and S. Zhang, "The Fundamental Theorem of Asset Pricing with either Frictionless or Frictional Security Markets," Journal of Mathematical Finance, Vol. 4 No. 2, 2014, pp. 123-134. doi: 10.4236/jmf.2014.42012.
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