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- W2951878018 abstract "In this paper a finite discrete time market with an arbitrary state space and bid-ask spreads is considered. The notion of an equivalent bid-ask martingale measure (EBAMM) is introduced and the fundamental theorem of asset pricing is proved using (EBAMM) as an equivalent condition for no-arbitrage. The Cox-Ross-Rubinstein model with bid-ask spreads is presented as an application of our results." @default.
- W2951878018 created "2019-06-27" @default.
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- W2951878018 date "2014-07-12" @default.
- W2951878018 modified "2023-09-27" @default.
- W2951878018 title "Arbitrage in markets with bid-ask spreads" @default.
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