Arizona State University. The author acknowledges Stephen Ross, the participants of the ORSA/TIMS meeting (November 1985) for helpful comments, and Jaime Dermody for helping improve the exposition of the paper. This paper was inspired from a paper by Garman and Ohlson , in particular from the footnote, “A treatment of the relaxed assumption (linearity of transaction costs) would lead into nonlinear duality theory …”. The research was supported in part by the Council 100 grant from Arizona State University.
Valuation of Risky Assets in Arbitrage Free Economies with Frictions
Article first published online: 30 APR 2012
1986 The American Finance Association
The Journal of Finance
Volume 41, Issue 3, pages 545–557, July 1986
How to Cite
PRISMAN, E. Z. (1986), Valuation of Risky Assets in Arbitrage Free Economies with Frictions. The Journal of Finance, 41: 545–557. doi: 10.1111/j.1540-6261.1986.tb04514.x
- Issue published online: 30 APR 2012
- Article first published online: 30 APR 2012
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