Discrete-time market models from the small investor point of view and the first fundamental-type theorem
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Publication:1698737
DOI10.1515/aupcsm-2017-0002zbMath1390.91341OpenAlexW2735820540MaRDI QIDQ1698737
Publication date: 16 February 2018
Published in: Annales Universitatis Paedagogicae Cracoviensis. Studia Mathematica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/aupcsm-2017-0002
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Cites Work
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- Markets with transaction costs. Mathematical theory.
- Martingales and arbitrage in multiperiod securities markets
- Martingales and stochastic integrals in the theory of continuous trading
- The fundamental theorem of asset pricing for unbounded stochastic processes
- A general version of the fundamental theorem of asset pricing
- Local martingales and the fundamental asset pricing theorems in the discrete-time case
- Non-arbitrage criteria for financial markets with efficient friction
- Martingales and arbitage in securities markets with transaction costs
- Equivalent martingale measures and no-arbitrage in stochastic securities market models
- The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
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