Arbitrage, linear programming and martingales in securities markets with bid-ask spreads
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Publication:1601355
DOI10.1007/S102030170001zbMath1137.91468OpenAlexW2075521546MaRDI QIDQ1601355
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
Related Items (8)
American contingent claims under small proportional transaction costs ⋮ An integer programming model for pricing American contingent claims under transaction costs ⋮ 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 ⋮ The fundamental theorem of asset pricing in the presence of bid-ask and interest rate spreads ⋮ Calibrated American option pricing by stochastic linear programming ⋮ Fundamental theorem of asset pricing under fixed and proportional transaction costs ⋮ American options under proportional transaction costs: pricing, hedging and stopping algorithms for long and short positions
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