%0 Journal Article
%T No-Arbitrage Pricing for Dividend-Paying Securities in Discrete-Time Markets with Transaction Costs
%A Tomasz R. Bielecki
%A Igor Cialenco
%A Rodrigo Rodriguez
%J Quantitative Finance
%D 2012
%I arXiv
%X We prove a version of First Fundamental Theorem of Asset Pricing under transaction costs for discrete-time markets with dividend-paying securities. Specifically, we show that the no-arbitrage condition under the efficient friction assumption is equivalent to the existence of a risk-neutral measure. We derive dual representations for the superhedging ask and subhedging bid price processes of a derivative contract. Our results are illustrated with a vanilla credit default swap contract.
%U http://arxiv.org/abs/1205.6254v2