Martingales and Arbitrage in Securities Markets with Transaction Costs
推导了在存在买卖价差的动态证券市场中，无套利条件等价于存在一个等价概率测度，使得介于买卖价之间的某个过程成为鞅，并利用该测度确定投资机会和或有债权的最小成本。
We derive the implications from the absence of arbitrage in dynamic securities markets with bid-ask spreads. The absence of arbitrage is equivalent to the existence of at least an equivalent probability measure that transforms some process between the bid and the ask price processes of traded securities into a martingale. The martingale measures can be interpreted as possible linear pricing rules and can be used to determine the investment opportunities available in such an economy. The minimum cost at which a contingent claim can be obtained through securities trading is its largest expected value with respect to the martingale measures. Journal of Economic Literature Classification Numbers: G11, G12, G13, D52, and D90.