NO-ARBITRAGE PRICING FOR DIVIDEND-PAYING SECURITIES IN DISCRETE-TIME MARKETS WITH TRANSACTION COSTS (Q3195490): Difference between revisions

@@ Property / OpenAlex ID @@
+W2157714812
@@ Property / OpenAlex ID: W2157714812 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.6254
@@ Property / arXiv ID: 1205.6254 / rank @@
+Normal rank
@@ Property / cites work @@
+No-arbitrage in discrete-time markets with proportional transaction costs and general information structure
+Normal rank
@@ Property / cites work @@
+Explicit solution to the multivariate super-replication problem under transaction costs.
+Normal rank
@@ Property / cites work @@
+A super-replication theorem in Kabanov's model of transaction costs
+Normal rank
@@ Property / cites work @@
+A closed-form solution to the problem of super-replication under transaction costs
+Normal rank
@@ Property / cites work @@
+Equivalent martingale measures and no-arbitrage in stochastic securities market models
+Normal rank
@@ Property / cites work @@
+A general version of the fundamental theorem of asset pricing
+Normal rank
@@ Property / cites work @@
+The mathematics of arbitrage
@@ Property / cites work: The mathematics of arbitrage / rank @@
+Normal rank
@@ Property / cites work @@
+Consistent price systems and arbitrage opportunities of~the~second kind in models with transaction costs
+Normal rank
@@ Property / cites work @@
+No-arbitrage criteria for financial markets with transaction costs and incomplete information
+Normal rank
@@ Property / cites work @@
+Stochastic finance. An introduction in discrete time
+Normal rank
@@ Property / cites work @@
+The fundamental theorem of asset pricing under transaction costs
+Normal rank
@@ Property / cites work @@
+The fundamental theorem of asset pricing for continuous processes under small transaction costs
+Normal rank
@@ Property / cites work @@
+Martingales and stochastic integrals in the theory of continuous trading
+Normal rank
@@ Property / cites work @@
+No arbitrage and closure results for trading cones with transaction costs
+Normal rank
@@ Property / cites work @@
+Local martingales and the fundamental asset pricing theorems in the discrete-time case
+Normal rank
@@ Property / cites work @@
+Martingales and arbitage in securities markets with transaction costs
+Normal rank
@@ Property / cites work @@
+Non-arbitrage criteria for financial markets with efficient friction
+Normal rank
@@ Property / cites work @@
+The Harrison-Pliska arbitrage pricing theorem under transaction costs
+Normal rank
@@ Property / cites work @@
+Arbitrage and equilibrium in economies with infinitely many commodities
+Normal rank
@@ Property / cites work @@
+On the possibility of hedging options in the presence of transaction costs
+Normal rank
@@ Property / cites work @@
+Arbitrage and deflators in illiquid markets
@@ Property / cites work: Arbitrage and deflators in illiquid markets / rank @@
+Normal rank
@@ Property / cites work @@
+Convex Duality in Stochastic Optimization and Mathematical Finance
+Normal rank
@@ Property / cites work @@
+Dual representation of superhedging costs in illiquid markets
+Normal rank
@@ Property / cites work @@
+SUPERHEDGING IN ILLIQUID MARKETS
@@ Property / cites work: SUPERHEDGING IN ILLIQUID MARKETS / rank @@
+Normal rank
@@ Property / cites work @@
+A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time
+Normal rank
@@ Property / cites work @@
+The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
+Normal rank
@@ Property / cites work @@
+There is no nontrivial hedging portfolio for option pricing with transaction costs
+Normal rank
@@ Property / cites work @@
+Super-replication under proportional transaction costs: From discrete to continuous-time models
+Normal rank