Consistent price systems and face-lifting pricing under transaction costs (Q2426603): Difference between revisions

@@ Property / author @@
-Walter Schachermayer
@@ Property / author: Walter Schachermayer / rank @@
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@@ Property / author @@
+Walter Schachermayer
@@ Property / author: Walter Schachermayer / rank @@
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@@ Property / arXiv ID: 0803.4416 / rank @@
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+Pricing by hedging and no-arbitrage beyond semimartingales
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@@ Property / cites work @@
+Explicit characterization of the super-replication strategy in financial markets with partial transaction costs
+Normal rank
@@ Property / cites work @@
+Q4836494
@@ Property / cites work: Q4836494 / rank @@
+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 @@
+Arbitrage in fractional Brownian motion models
@@ Property / cites work: Arbitrage in fractional Brownian motion models / rank @@
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@@ Property / cites work @@
+General Arbitrage Pricing Model: II – Transaction Costs
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@@ Property / cites work @@
+Q4848525
@@ Property / cites work: Q4848525 / rank @@
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@@ Property / cites work @@
+HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH<sup>1</sup><sup>2</sup>
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+A closed-form solution to the problem of super-replication under transaction costs
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+Equivalent martingale measures and no-arbitrage in stochastic securities market models
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+Arbitrage opportunities for a class of Gladyshev processes
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+Stochastic analysis of the fractional Brownian motion
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+A general version of the fundamental theorem of asset pricing
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+Q3957682
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+Optimal investment with transaction costs and without semimartingales
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+NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND
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+The fundamental theorem of asset pricing for continuous processes under small transaction costs
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+Local martingales and the fundamental asset pricing theorems in the discrete-time case
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+The super-replication problem via probabilistic methods
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+Martingales and arbitage in securities markets with transaction costs
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+Hedging and liquidation under transaction costs in currency markets
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+On the closedness of sums of convex cones in \(L^0\) and the robust no-arbitrage property
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+Q2725602
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+Q3526647
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+Abstract Wiener processes and their reproducing Kernel Hilbert spaces
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+On the possibility of hedging options in the presence of transaction costs
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+Long-Term Memory in Stock Market Prices
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+The Malliavin Calculus and Related Topics
@@ Property / cites work: The Malliavin Calculus and Related Topics / rank @@
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+Q4226355
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+Equivalent martingale measures and no-arbitrage
@@ Property / cites work: Equivalent martingale measures and no-arbitrage / rank @@
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+Arbitrage with Fractional Brownian Motion
@@ Property / cites work: Arbitrage with Fractional Brownian Motion / rank @@
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+Tolerance to arbitrage
@@ Property / cites work: Tolerance to arbitrage / 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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+Q5670045
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+Stock market prices and long-range dependence
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+Q4225849
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