Arbitrage and Martingales with Taxation
将无套利定价的鞅分析扩展到存在税收的世界，证明无套利意味着对不同税收处理的收入流存在不同的影子价格，并应用于债务/权益决策、税收期权、股息和养老金税收等金融议题。
This paper extends the martingale analysis of no arbitrage pricing to worlds with taxation. The absence of arbitrage is shown to imply the existence of different shadow prices for income streams that are subject to differing tax treatments. For example , no arbitrage implies the existence of different martingale measures for capita l gains and for ordinary income when they are differentially taxed, andfor item s such as depreciation expenses that influence only after- tax cash flows. The analysis is applied to several topics in finance including the debt/equity decision, tax options, and the taxation of dividends and pensions. Copyright 1987 by University of Chicago Press.