Arbitrage and viability in securities markets with fixed trading costs

DOI10.1016/S0304-4068(00)00065-3zbMath1013.91038OpenAlexW3123701114WikidataQ127109438 ScholiaQ127109438MaRDI QIDQ5939295

Elyès Jouini, Hedi Kallal, Clotilde Napp

Publication date: 3 September 2001

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4068(00)00065-3

zbMATH Keywords

martingale measurearbitrageabsolutely continuouscontingent claims viability

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Financial applications of other theories (91G80)

Related Items

Computation of arbitrage in frictional bond markets, Arbitrage theory for non convex financial market models, How non-arbitrage, viability and numéraire portfolio are related, Dynamic programming principle and computable prices in financial market models with transaction costs, Super-replication with fixed transaction costs, Arbitrage and control problems in finance. A presentation, Special issue: Arbitrage and control problems in finance, Pricing issues with investment flows. Applications to market models with frictions, Fundamental theorem of asset pricing under fixed and proportional transaction costs, General financial market model defined by a liquidation value process, Asset pricing under progressive taxes and existence of general equilibrium

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