On the closedness of sums of convex cones in L^0 and the robust no-arbitrage property

DOI10.1007/S007800200089MaRDI QIDQ1776004zbMATH OpenOpenAlexFDO

Authors Miklós Rásonyi, Ch. Stricker, Yuri Kabanov

Publication date 20 May 2005

Published in Finance and Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s007800200089

zbMATH Keywords

transaction costshedgingarbitragesolvency

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Auctions, bargaining, bidding and selling, and other market models (91B26) Martingales with continuous parameter (60G44)

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• American contingent claims under small proportional transaction costs
• American options under proportional transaction costs: pricing, hedging and stopping algorithms for long and short positions
• Problems of mathematical finance by stochastic control methods
• FTAP in finite discrete time with transaction costs by utility maximization
• Critical angles in random polyhedral cones
• Superhedging in illiquid markets
• Multivariate utility maximization with proportional transaction costs
• No-arbitrage of second kind in countable markets with proportional transaction costs
• NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND
• On the optional and orthogonal decompositions of supermartingales and applications
• A NOTE ON ARBITRAGE AND CLOSED CONVEX CONES
• A theorem on martingale selection for relatively open convex set-valued random sequences
• Consistent price systems and face-lifting pricing under transaction costs
• No arbitrage and closure results for trading cones with transaction costs
• Prospective strict no-arbitrage and the fundamental theorem of asset pricing under transaction costs
• Small transaction costs, absence of arbitrage and consistent price systems
• Arbitrage and deflators in illiquid markets
• A note on super-hedging for investor-producers
• No-arbitrage criteria for financial markets with transaction costs and incomplete information
• Consistent price systems and arbitrage opportunities of~the~second kind in models with transaction costs
• On the optional and orthogonal decompositions of a class of semimartingales
• NO MARGINAL ARBITRAGE OF THE SECOND KIND FOR HIGH PRODUCTION REGIMES IN DISCRETE TIME PRODUCTION–INVESTMENT MODELS WITH PROPORTIONAL TRANSACTION COSTS
• The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
• On the density of properly maximal claims in financial markets with transaction costs

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