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