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

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-.1007/s00780-022-00484-9
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+.03190
@@ Property / arXiv ID: 2001.03190 / rank @@
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+Properly discounted asset prices are semimartingales
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+Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs
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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 under Proportional Transaction Costs in Finite Discrete Time
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+.1007/S00780-022-00484-9
@@ Property / DOI: 10.1007/S00780-022-00484-9 / rank @@
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+Consistent price systems and arbitrage opportunities of~the~second kind in models with transaction costs
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+CHOQUET PRICING FOR FINANCIAL MARKETS WITH FRICTIONS
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+Arbitrage-free models in markets with transaction costs
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+Martingales and arbitage in securities markets with transaction costs
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+INDIFFERENCE PRICE WITH GENERAL SEMIMARTINGALES
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+Indifference Pricing in a Market with Transaction Costs and Jumps
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