Semimartingale price systems in models with transaction costs beyond efficient friction (Q2675819): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W3122719079
@@ Property / OpenAlex ID: W3122719079 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.03190
@@ Property / arXiv ID: 2001.03190 / rank @@
+Normal rank
@@ Property / cites work @@
+Properly discounted asset prices are semimartingales
+Normal rank
@@ Property / cites work @@
+A direct proof of the Bichteler-Dellacherie theorem and connections to arbitrage
+Normal rank
@@ Property / cites work @@
+Riemann-integration and a new proof of the Bichteler-Dellacherie theorem
+Normal rank
@@ Property / cites work @@
+A super-replication theorem in Kabanov's model of transaction costs
+Normal rank
@@ Property / cites work @@
+Q3870094
@@ Property / cites work: Q3870094 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Calculus and Applications
@@ Property / cites work: Stochastic Calculus and Applications / rank @@
+Normal rank
@@ Property / cites work @@
+HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH<sup>1</sup><sup>2</sup>
+Normal rank
@@ Property / cites work @@
+Transaction Costs, Shadow Prices, and Duality in Discrete Time
+Normal rank
@@ Property / cites work @@
+Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs
+Normal rank
@@ Property / cites work @@
+Duality theory for portfolio optimisation under transaction costs
+Normal rank
@@ Property / cites work @@
+Portfolio optimisation beyond semimartingales: shadow prices and fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+SHADOW PRICES FOR CONTINUOUS PROCESSES
@@ Property / cites work: SHADOW PRICES FOR CONTINUOUS PROCESSES / rank @@
+Normal rank
@@ Property / cites work @@
+A general version of the fundamental theorem of asset pricing
+Normal rank
@@ Property / cites work @@
+Q3957683
@@ Property / cites work: Q3957683 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic process measurability conditions
@@ Property / cites work: Stochastic process measurability conditions / rank @@
+Normal rank
@@ Property / cites work @@
+Mathematical Finance
@@ Property / cites work: Mathematical Finance / rank @@
+Normal rank
@@ Property / cites work @@
+Q4192768
@@ Property / cites work: Q4192768 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5758403
@@ Property / cites work: Q5758403 / rank @@
+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 under transaction costs
+Normal rank
@@ Property / cites work @@
+Consistent price systems and face-lifting 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 @@
+Q4274285
@@ Property / cites work: Q4274285 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3866874
@@ Property / cites work: Q3866874 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4778955
@@ Property / cites work: Q4778955 / rank @@
+Normal rank
@@ Property / cites work @@
+Markets with transaction costs. Mathematical theory.
+Normal rank
@@ Property / cites work @@
+Q4550915
@@ Property / cites work: Q4550915 / rank @@
+Normal rank
@@ Property / cites work @@
+Existence of shadow prices in finite probability spaces
+Normal rank
@@ Property / cites work @@
+On using shadow prices in portfolio optimization with transaction costs
+Normal rank
@@ Property / cites work @@
+On the semimartingale property of discounted asset-price processes
+Normal rank
@@ Property / cites work @@
+Game options
@@ Property / cites work: Game options / rank @@
+Normal rank
@@ Property / cites work @@
+Probability theory. A comprehensive course
@@ Property / cites work: Probability theory. A comprehensive course / rank @@
+Normal rank
@@ Property / cites work @@
+Le jeu de dynkin en theorie generale sans l'hypothese de mokobodski
+Normal rank
@@ Property / cites work @@
+Stochastic integral equations without probability
@@ Property / cites work: Stochastic integral equations without probability / rank @@
+Normal rank
@@ Property / cites work @@
+Q4114574
@@ Property / cites work: Q4114574 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4435813
@@ Property / cites work: Q4435813 / rank @@
+Normal rank
@@ Property / cites work @@
+The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:2675819