Martingales and arbitage in securities markets with transaction costs

DOI10.1006/JETH.1995.1037zbMATH Open0830.90020OpenAlexW2060302284MaRDI QIDQ1897315FDOQ1897315

Authors: Elyès Jouini, Hédi Kallal 

Publication date: 27 August 1995

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1006/jeth.1995.1037

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zbMATH Keywords

linear pricing rulesabsence of arbitrage in dynamic securities markets

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Microeconomic theory (price theory and economic markets) (91B24) Financial applications of other theories (91G80)

Cited In (only showing first 100 items - show all)

• Optimal asset--liability management with constraints: A dynamic programming approach
• Utility maximization in markets with bid-ask spreads
• Asset pricing in an imperfect world
• Utility maximization problem with transaction costs: optimal dual processes and stability
• Put-call parity and generalized neo-additive pricing rules
• No-arbitrage in discrete-time markets with proportional transaction costs and general information structure
• Minimax strategies and duality with applications in financial mathematics
• Mean‐Reverting Market Model: Speculative Opportunities and Non‐Arbitrage
• Stochastic measures of arbitrage.
• On infinite-horizon minimum-cost hedging under cone constraints
• The fundamental theorem of asset pricing in the presence of bid-ask and interest rate spreads
• Sticky Continuous Processes have Consistent Price Systems
• Trading with small nonlinear price impact
• Submodular financial markets with frictions
• Computation of arbitrage in frictional bond markets
• A complement to the Grigoriev theorem for the Kabanov model
• Choquet pricing and equilibrium.
• Updating pricing rules
• Market consistent valuations with financial imperfection
• The balance space approach in optimization with Riesz spaces valued objectives. An application to financial markets.
• Discrete-time market models from the small investor point of view and the first fundamental-type theorem
• Game options with gradual exercise and cancellation under proportional transaction costs
• Necessary and sufficient conditions for weak no-arbitrage in securities markets with frictions
• Existence of a Radner equilibrium in a model with transaction costs
• Dynamic bid-ask pricing under Dempster-Shafer uncertainty
• Time consistency for scalar multivariate risk measures
• Von Neumann–Gale model, market frictions and capital growth
• No-arbitrage criteria for financial markets with transaction costs and incomplete information
• Continuous-time duality for superreplication with transient price impact
• Financial market structures revealed by pricing rules: efficient complete markets are prevalent
• Numeraire portfolios and utility-based price systems under proportional transaction costs
• Arbitrage theory for non convex financial market models
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• Sublinear price functionals under portfolio constraints
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• EUROPEAN OPTION PRICING WITH GENERAL TRANSACTION COSTS AND SHORT-SELLING CONSTRAINTS
• Effective securities in arbitrage-free markets with bid-ask spreads at liquidation: a linear programming characterization
• Two price economic equilibria and financial market bid/ask prices
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• Pricing issues with investment flows. Applications to market models with frictions
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• Fuzzy measures and asset prices: accounting for information ambiguity
• Liquidity and credit risk
• Asset pricing under progressive taxes and existence of general equilibrium
• Optimal consumption portfolio and no-arbitrage with nonproportional transaction costs
• Risk measure pricing and hedging in the presence of transaction costs
• Computation of distorted probabilities for diffusion processes via stochastic control methods.
• Dynamic Arbitrage-Free Asset Pricing with Proportional Transaction Costs
• Asymptotics and duality for the Davis and Norman problem
• A comparison of techniques for dynamic multivariate risk measures
• Weakly time consistent concave valuations and their dual representations
• Testing affine term structure models in case of transaction costs
• Optimal investment and contingent claim valuation in illiquid markets
• Exact Superreplication Strategies for a Class of Derivative Assets
• Portfolio Choice with Transaction Costs: A User’s Guide
• Pricing rules and Arrow-Debreu ambiguous valuation
• The fundamental theorem of asset pricing for continuous processes under small transaction costs
• Duality theory for portfolio optimisation under transaction costs
• Good deals and compatible modification of risk and pricing rule: a regulatory treatment
• No arbitrage conditions and liquidity
• Put-call parity and market frictions
• HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH¹²
• The Harrison-Pliska arbitrage pricing theorem under transaction costs
• Martingales and arbitrage in multiperiod securities markets
• Admissible Trading Strategies Under Transaction Costs
• American contingent claims under small proportional transaction costs
• Equilibria under Knightian price uncertainty
• 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
• The Dalang-Morton-Willinger theorem under cone constraints.
• Option overlay strategies
• Markets as a counterparty: an introduction to conic finance
• Superhedging in illiquid markets
• On the existence of shadow prices
• Explicit solution to the multivariate super-replication problem under transaction costs.
• General Arbitrage Pricing Model: II – Transaction Costs
• Consistent price systems in multiasset markets
• The super-replication theorem under proportional transaction costs revisited
• Multivariate utility maximization with proportional transaction costs
• Dual representation of superhedging costs in illiquid markets
• No-arbitrage of second kind in countable markets with proportional transaction costs
• Existence of shadow prices in finite probability spaces
• Benchmarking in two price financial markets
• Dynamic conic hedging for competitiveness
• Acceptability indexes via \(g\)-expectations: an application to liquidity risk
• An algorithm for calculating the set of superhedging portfolios in markets with transaction costs
• Arbitrage, linear programming and martingales in securities markets with bid-ask spreads
• General equilibrium with endogenously incomplete financial markets
• On optimal terminal wealth under transaction costs
• DYNAMIC CONIC FINANCE: PRICING AND HEDGING IN MARKET MODELS WITH TRANSACTION COSTS VIA DYNAMIC COHERENT ACCEPTABILITY INDICES
• Duality Formulas for Robust Pricing and Hedging in Discrete Time
• Efficient portfolios in financial markets with proportional transaction costs
• On the strategic behavior of large investors: a mean-variance portfolio approach
• How non-arbitrage, viability and numéraire portfolio are related
• A model of optimal consumption under liquidity risk with random trading times
• Good deals in markets with friction
• The fundamental theorem of asset pricing under transaction costs
• On using shadow prices in portfolio optimization with transaction costs
• Hedging, arbitrage and optimality with superlinear frictions

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