Price functionals with bid-ask spreads: An axiomatic approach

DOI10.1016/S0304-4068(99)00023-3MaRDI QIDQ1592527zbMATH OpenFDO

Authors Elyès Jouini

Publication date 25 January 2001

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

zbMATH Keywords

contingent claimsbid-ask spreadsMarket-makersno-arbitrage assumptionsprice functionals

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

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Cites work

• ARBITRAGE IN SECURITIES MARKETS WITH SHORT-SALES CONSTRAINTS
• DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS¹
• HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH¹²
• Limit theorem on option replication cost with transaction costs
• Martingales and arbitage in securities markets with transaction costs
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• On the possibility of hedging options in the presence of transaction costs
• Sublinear price functionals under portfolio constraints
• There is no nontrivial hedging portfolio for option pricing with transaction costs
• Viability and equilibrium in securities markets with frictions

Cited in

(28)

• Utility maximization in markets with bid-ask spreads
• Pricing rules and Arrow-Debreu ambiguous valuation
• Asset pricing and hedging in financial markets with fixed and proportional transaction costs
• American contingent claims under small proportional transaction costs
• Options under proportional transaction costs: An algorithmic approach to pricing and hedging
• Submodular financial markets with frictions
• Bid-Ask Spread Modelling, a Perturbation Approach
• Updating pricing rules
• Optimal liquidation in a finite time regime switching model with permanent and temporary pricing impact
• An analysis of the supply curve for liquidity risk through book data
• Consistency of option prices under bid-ask spreads
• Acceptability indexes via \(g\)-expectations: an application to liquidity risk
• Game options with gradual exercise and cancellation under proportional transaction costs
• Law-invariant functionals that collapse to the mean
• Multidimensional dynamic risk measure via conditional \(g\)-expectation
• Dynamic bid-ask pricing under Dempster-Shafer uncertainty
• Arbitrage in markets with bid-ask spreads. The fundamental theorem of asset pricing in finite discrete time markets with bid-ask spreads and a money account
• Asset pricing and hedging in financial markets with transaction costs: an approach based on the von Neumann-Gale model
• Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk
• Link-save trading
• Financial market structures revealed by pricing rules: efficient complete markets are prevalent
• Sublinear price functionals under portfolio constraints
• Game options in an imperfect market with default
• Effective securities in arbitrage-free markets with bid-ask spreads at liquidation: a linear programming characterization
• Conditional dominance criteria: Definition and application to risk-management
• A REPRESENTATION OF KEYNES’S LONG-TERM EXPECTATION IN FINANCIAL MARKETS
• Viscosity characterization of the value function of an investment-consumption problem in presence of an illiquid asset
• Pricing issues with investment flows. Applications to market models with frictions

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