Pages that link to "Item:Q2426603"
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The following pages link to Consistent price systems and face-lifting pricing under transaction costs (Q2426603):
Displaying 50 items.
- Facelifting in utility maximization (Q261918) (← links)
- Superreplication when trading at market indifference prices (Q261922) (← links)
- Duality theory for portfolio optimisation under transaction costs (Q303976) (← links)
- Goodness of fit assessment for a fractal model of stock markets (Q340460) (← links)
- Duality and convergence for binomial markets with friction (Q354186) (← links)
- Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes (Q358131) (← links)
- On the existence of shadow prices (Q377456) (← links)
- Hedging of game options with the presence of transaction costs (Q389062) (← links)
- On free lunches in random walk markets with short-sale constraints and small transaction costs, and weak convergence to Gaussian continuous-time processes (Q398201) (← links)
- Consistent price systems in multiasset markets (Q448327) (← links)
- Absence of arbitrage in a general framework (Q470679) (← links)
- A study of the absence of arbitrage opportunities without calculating the risk-neutral probability (Q508631) (← links)
- On the conditional small ball property of multivariate Lévy-driven moving average processes (Q511124) (← links)
- The scaling limit of superreplication prices with small transaction costs in the multivariate case (Q522060) (← links)
- Existence of shadow prices in finite probability spaces (Q532533) (← links)
- On stochastic calculus related to financial assets without semimartingales (Q645948) (← links)
- The fundamental theorem of asset pricing for continuous processes under small transaction costs (Q666440) (← links)
- Simple arbitrage (Q691114) (← links)
- Construction of discrete time shadow price (Q901244) (← links)
- Brownian moving averages have conditional full support (Q957520) (← links)
- On using shadow prices in portfolio optimization with transaction costs (Q990383) (← links)
- An ambit stochastic approach to pricing electricity forward contracts: the case of the German energy market (Q1657898) (← links)
- Sticky processes, local and true martingales (Q1708983) (← links)
- Super-replication with fixed transaction costs (Q1737955) (← links)
- Consistent price systems and arbitrage opportunities of~the~second kind in models with transaction costs (Q1761435) (← links)
- The dual optimizer for the growth-optimal portfolio under transaction costs (Q1945044) (← links)
- Robust utility maximisation in markets with transaction costs (Q1999599) (← links)
- High-frequency trading with fractional Brownian motion (Q2022763) (← links)
- Asset price bubbles in markets with transaction costs (Q2085833) (← links)
- Von Neumann-Gale dynamics and capital growth in financial markets with frictions (Q2175464) (← links)
- Pricing by hedging and no-arbitrage beyond semimartingales (Q2271717) (← links)
- No arbitrage and lead-lag relationships (Q2273697) (← links)
- Continuous-time duality for superreplication with transient price impact (Q2299594) (← links)
- Fragility of arbitrage and bubbles in local martingale diffusion models (Q2339115) (← links)
- Hedging, arbitrage and optimality with superlinear frictions (Q2354892) (← links)
- On stochastic integration for volatility modulated Lévy-driven Volterra processes (Q2434503) (← links)
- Semimartingale price systems in models with transaction costs beyond efficient friction (Q2675819) (← links)
- Portfolio Choice with Transaction Costs: A User’s Guide (Q2847837) (← links)
- Diversity and No Arbitrage (Q2929468) (← links)
- Sticky Continuous Processes have Consistent Price Systems (Q2949856) (← links)
- Utility maximization problem with random endowment and transaction costs: when wealth may become negative (Q2974041) (← links)
- Remarks on simple arbitrage on markets with bid and ask prices (Q2985927) (← links)
- Conditional Full Support of Gaussian Processes with Stationary Increments (Q3014992) (← links)
- On the stickiness property (Q3064012) (← links)
- Asymptotics and duality for the Davis and Norman problem (Q3145080) (← links)
- Conditional Distributions of Mandelbrot–van ness Fractional LÉVY Processes and Continuous‐Time ARMA–GARCH‐Type Models with Long Memory (Q3466884) (← links)
- Conditional Distributions of Processes Related to Fractional Brownian Motion (Q4918570) (← links)
- Stochastic Integrals and Conditional Full Support (Q4933191) (← links)
- How Rough Path Lifts Affect Expected Return and Volatility: A Rough Model under Transaction Cost (Q6048447) (← links)
- Option pricing models without probability: a rough paths approach (Q6054388) (← links)
