Arbitrage theory for non convex financial market models
From MaRDI portal
Publication:2403708
DOI10.1016/j.spa.2017.01.011zbMath1377.91150OpenAlexW3125017761MaRDI QIDQ2403708
Publication date: 11 September 2017
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2139/ssrn.2666440
Microeconomic theory (price theory and economic markets) (91B24) Optimal stochastic control (93E20) Martingales with continuous parameter (60G44) Portfolio theory (91G10)
Related Items
IMPLICIT TRANSACTION COSTS AND THE FUNDAMENTAL THEOREMS OF ASSET PRICING, Dynamic programming principle and computable prices in financial market models with transaction costs, Super-replication with fixed transaction costs, Unnamed Item, Fundamental theorem of asset pricing under fixed and proportional transaction costs
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Almost-sure hedging with permanent price impact
- Duality and convergence for binomial markets with friction
- Optimal portfolio selection under concave price impact
- The fundamental theorem of asset pricing for continuous processes under small transaction costs
- The fundamental theorem of asset pricing under transaction costs
- Markets with transaction costs. Mathematical theory.
- European option pricing and hedging with both fixed and proportional transaction costs
- Hedging and liquidation under transaction costs in currency markets
- Optimal investment and consumption with transaction costs
- Non-arbitrage criteria for financial markets with efficient friction
- Consistent price systems and arbitrage opportunities of~the~second kind in models with transaction costs
- Liquidity risk and arbitrage pricing theory
- Martingales and arbitage in securities markets with transaction costs
- The mathematics of arbitrage
- No arbitrage conditions and liquidity
- General financial market model defined by a liquidation value process
- Hedging of Claims with Physical Delivery under Convex Transaction Costs
- HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12
- Hedging and Portfolio Optimization in Financial Markets with a Large Trader
- The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
- Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs
- Hedging under Transaction Costs in Currency Markets: a Continuous-Time Model
- Portfolio Selection with Transaction Costs
- Arbitrage and viability in securities markets with fixed trading costs