论文标题
交易成本超出有效摩擦的交易成本的模型中的半明星价格系统
Semimartingale price systems in models with transaction costs beyond efficient friction
论文作者
论文摘要
关于比例交易成本的文献中的坚定假设是有效的摩擦。加上强大的免费午餐，风险消失，它排除了无限差异的策略，因为它们通常出现在无摩擦市场中。在本文中，我们展示了如何有和没有交易成本的模型。 卡德拉格流程给出了风险资产的出价和询问价格，这些流程是从下面界定的，并且可能在某些时候重合。第一步，我们表明，如果BID-ASK模型满足简单策略的“无界利润，则具有有限的风险”，那么就会存在竞标和询问价格过程之间的半明天。 在第二步中，在额外的假设是，要么是从零零或右内点的偏移的起点，要么是从右点开始的起点，我们表明，对于每个有限的可预测策略，指定危险资产的数量，Semimartingale可以用于构建在一致的方式中构建相应的自我融合风险位置。最后，引入了大多数一般策略的集合，这也提供了有关无摩擦情况的新观点。
A standing assumption in the literature on proportional transaction costs is efficient friction. Together with robust no free lunch with vanishing risk, it rules out strategies of infinite variation, as they usually appear in frictionless markets. In this paper, we show how the models with and without transaction costs can be unified. The bid and the ask price of a risky asset are given by cádlág processes which are locally bounded from below and may coincide at some points. In a first step, we show that if the bid-ask model satisfies "no unbounded profit with bounded risk" for simple strategies, then there exists a semimartingale lying between the bid and the ask price process. In a second step, under the additional assumption that the zeros of the bid-ask spread are either starting points of an excursion away from zero or inner points from the right, we show that for every bounded predictable strategy specifying the amount of risky assets, the semimartingale can be used to construct the corresponding self-financing risk-free position in a consistent way. Finally, the set of most general strategies is introduced, which also provides a new view on the frictionless case.
