# The Harrison-Pliska arbitrage pricing theorem under transaction costs

@article{Kabanov2001TheHA, title={The Harrison-Pliska arbitrage pricing theorem under transaction costs}, author={Yuri Kabanov and Ch. Stricker}, journal={Journal of Mathematical Economics}, year={2001}, volume={35}, pages={185-196} }

Abstract We consider a simple multi-asset discrete-time model of a currency market with transaction costs assuming the finite number of states of the nature. Defining two kinds of arbitrage opportunities we study necessary and sufficient conditions for the absence of arbitrage. Our main result is a natural extension of the Harrison–Pliska theorem on asset pricing. We prove also a hedging theorem without supplementary hypotheses.

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