Arbitrage, linear programming and martingales in securities markets with bid-ask spreads

DOI10.1007/S102030170001zbMATH Open1137.91468OpenAlexW2075521546MaRDI QIDQ1601355FDOQ1601355

Authors: Fulvio Ortu 

Publication date: 2001

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s102030170001

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Mathematics Subject Classification ID

Stochastic models in economics (91B70)

Cited In (15)

• The fundamental theorem of asset pricing in the presence of bid-ask and interest rate spreads
• Fundamental theorem of asset pricing under fixed and proportional costs in multi-asset setting and finite probability space
• An integer programming model for pricing American contingent claims under transaction costs
• American contingent claims under small proportional transaction costs
• Options under proportional transaction costs: An algorithmic approach to pricing and hedging
• American options under proportional transaction costs: pricing, hedging and stopping algorithms for long and short positions
• Fundamental theorem of asset pricing under fixed and proportional transaction costs
• Martingales and arbitage in securities markets with transaction costs
• Consistency of option prices under bid-ask spreads
• 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
• Calibrated American option pricing by stochastic linear programming
• Price functionals with bid-ask spreads: An axiomatic approach
• Effective securities in arbitrage-free markets with bid-ask spreads at liquidation: a linear programming characterization
• Arbitrage opportunities on derivatives: a linear programming approach
• Remarks on simple arbitrage on markets with bid and ask prices

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