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

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-Walter Schachermayer
@@ Property / author: Walter Schachermayer / rank @@
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+Walter Schachermayer
@@ Property / author: Walter Schachermayer / rank @@
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+MaRDI publication profile
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+.4416
@@ 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>
+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
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+Arbitrage opportunities for a class of Gladyshev processes
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+Stochastic analysis of the fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+A general version of the fundamental theorem of asset pricing
+Normal rank
@@ Property / cites work @@
+Q3957682
@@ Property / cites work: Q3957682 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal investment with transaction costs and without semimartingales
+Normal rank
@@ Property / cites work @@
+NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND
+Normal rank
@@ Property / cites work @@
+The fundamental theorem of asset pricing for continuous processes under small 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 @@
+The super-replication problem via probabilistic methods
+Normal rank
@@ Property / cites work @@
+Martingales and arbitage in securities markets with transaction costs
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@@ Property / cites work @@
+Hedging and liquidation under transaction costs in currency markets
+Normal rank
@@ Property / cites work @@
+On the closedness of sums of convex cones in \(L^0\) and the robust no-arbitrage property
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+Q2725602
@@ Property / cites work: Q2725602 / rank @@
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@@ Property / cites work: Q4550915 / rank @@
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@@ Property / cites work @@
+Q3526647
@@ Property / cites work: Q3526647 / rank @@
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@@ Property / cites work @@
+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
@@ Property / cites work: Long-Term Memory in Stock Market Prices / rank @@
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@@ Property / cites work @@
+The Malliavin Calculus and Related Topics
@@ Property / cites work: The Malliavin Calculus and Related Topics / rank @@
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@@ Property / cites work @@
+Q4226355
@@ Property / cites work: Q4226355 / rank @@
+Normal rank
@@ Property / cites work @@
+Equivalent martingale measures and no-arbitrage
@@ Property / cites work: Equivalent martingale measures and no-arbitrage / rank @@
+Normal rank
@@ Property / cites work @@
+Arbitrage with Fractional Brownian Motion
@@ Property / cites work: Arbitrage with Fractional Brownian Motion / rank @@
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@@ Property / cites work @@
+Tolerance to arbitrage
@@ Property / cites work: Tolerance to arbitrage / rank @@
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@@ 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
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+There is no nontrivial hedging portfolio for option pricing with transaction costs
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@@ Property / cites work @@
+Q5670045
@@ Property / cites work: Q5670045 / rank @@
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@@ Property / cites work @@
+Stock market prices and long-range dependence
@@ Property / cites work: Stock market prices and long-range dependence / rank @@
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@@ Property / cites work @@
+Q4225849
@@ Property / cites work: Q4225849 / rank @@
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+W2028380720
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+Publication:2426603