NO-ARBITRAGE PRICING FOR DIVIDEND-PAYING SECURITIES IN DISCRETE-TIME MARKETS WITH TRANSACTION COSTS

DOI10.1111/mafi.12038zbMath1331.91173arXiv1205.6254OpenAlexW2157714812MaRDI QIDQ3195490

Tomasz R. Bielecki, Igor Cialenco, Rodrigo Marín Rodríguez

Publication date: 20 October 2015

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1205.6254

zbMATH Keywords

transaction costsarbitrageliquidityfundamental theorem of asset pricingdividendscredit default swapsinterest rate swapsconsistent pricing system

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

Dynamic Conic Finance via Backward Stochastic Difference Equations ⋮ A robust numerical solution to a time-fractional Black-Scholes equation ⋮ Convex duality in optimal investment under illiquidity ⋮ Convex duality in optimal investment and contingent claim valuation in illiquid markets

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