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

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+W2157714812
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+.6254
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@@ Property / cites work @@
+No-arbitrage in discrete-time markets with proportional transaction costs and general information structure
+Normal rank
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+Explicit solution to the multivariate super-replication problem under transaction costs.
+Normal rank
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+A super-replication theorem in Kabanov's model of transaction costs
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+A closed-form solution to the problem of super-replication under transaction costs
+Normal rank
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+Equivalent martingale measures and no-arbitrage in stochastic securities market models
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+A general version of the fundamental theorem of asset pricing
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+The mathematics of arbitrage
@@ Property / cites work: The mathematics of arbitrage / rank @@
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+Consistent price systems and arbitrage opportunities of~the~second kind in models with transaction costs
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+No-arbitrage criteria for financial markets with transaction costs and incomplete information
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+Stochastic finance. An introduction in discrete time
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+The fundamental theorem of asset pricing under transaction costs
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+The fundamental theorem of asset pricing for continuous processes under small transaction costs
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+Martingales and stochastic integrals in the theory of continuous trading
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+No arbitrage and closure results for trading cones with transaction costs
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+Local martingales and the fundamental asset pricing theorems in the discrete-time case
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+Martingales and arbitage in securities markets with transaction costs
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+Non-arbitrage criteria for financial markets with efficient friction
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+The Harrison-Pliska arbitrage pricing theorem under transaction costs
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+Arbitrage and equilibrium in economies with infinitely many commodities
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+On the possibility of hedging options in the presence of transaction costs
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+Arbitrage and deflators in illiquid markets
@@ Property / cites work: Arbitrage and deflators in illiquid markets / rank @@
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+Convex Duality in Stochastic Optimization and Mathematical Finance
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+Dual representation of superhedging costs in illiquid markets
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+SUPERHEDGING IN ILLIQUID MARKETS
@@ Property / cites work: SUPERHEDGING IN ILLIQUID MARKETS / rank @@
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+A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time
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+The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
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+There is no nontrivial hedging portfolio for option pricing with transaction costs
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+Super-replication under proportional transaction costs: From discrete to continuous-time models
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+Publication:3195490