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• W2025283475 endingPage "2302" @default.
• W2025283475 startingPage "2281" @default.
• W2025283475 abstract "Abstract For valuing derivatives and other assets in securities and commodities markets, arbitrage pricing theory has been a major approach for decades. This paper derives fundamental arbitrage pricing results in finite dimensions in a simple unified framework using Tucker’s theorem of the alternative. Frictionless results, that is perfect market results, plus imperfect market results such as 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 imperfect market frictions." @default.
• W2025283475 created "2016-06-24" @default.
• W2025283475 creator A5033701615 @default.
• W2025283475 creator A5055595935 @default.
• W2025283475 date "2007-08-01" @default.
• W2025283475 modified "2023-09-27" @default.
• W2025283475 title "Using Tucker’s theorem of the alternative to simplify, review and expand discrete arbitrage theory" @default.
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• W2025283475 doi "https://doi.org/10.1016/j.jbankfin.2007.02.004" @default.
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