Martingales and arbitage in securities markets with transaction costs
From MaRDI portal
(Redirected from Publication:1897315)
Recommendations
- Arbitrage, linear programming and martingales in securities markets with bid-ask spreads
- Arbitrage and viability in securities markets with fixed trading costs
- scientific article; zbMATH DE number 1066454
- General Arbitrage Pricing Model: II – Transaction Costs
- ARBITRAGE IN SECURITIES MARKETS WITH SHORT-SALES CONSTRAINTS
Cited in
(only showing first 100 items - show all)- A bounded risk strategy for a market with non-observable parameters.
- Dynamic Arbitrage-Free Asset Pricing with Proportional Transaction Costs
- Hedging under Transaction Costs in Currency Markets: a Discrete-Time Model
- Asymptotics and duality for the Davis and Norman problem
- Optimal asset--liability management with constraints: A dynamic programming approach
- Utility maximization in markets with bid-ask spreads
- A comparison of techniques for dynamic multivariate risk measures
- Asset pricing in an imperfect world
- Weakly time consistent concave valuations and their dual representations
- Testing affine term structure models in case of transaction costs
- Utility maximization problem with transaction costs: optimal dual processes and stability
- Put-call parity and generalized neo-additive pricing rules
- Optimal investment and contingent claim valuation in illiquid markets
- Almost surely optimal portfolios under proportional transaction costs
- No-arbitrage in discrete-time markets with proportional transaction costs and general information structure
- Pricing rules and Arrow-Debreu ambiguous valuation
- The fundamental theorem of asset pricing for continuous processes under small transaction costs
- Minimax strategies and duality with applications in financial mathematics
- The fundamental theorem of asset pricing under default and collateral in finite discrete time
- Portfolio Choice with Transaction Costs: A User’s Guide
- Buy and Hold Golden Strategies in Financial Markets with Frictions and Depth Constraints
- Exact Superreplication Strategies for a Class of Derivative Assets
- Duality theory for portfolio optimisation under transaction costs
- Stochastic measures of arbitrage.
- Implicit transaction costs and the fundamental theorems of asset pricing
- Mean‐Reverting Market Model: Speculative Opportunities and Non‐Arbitrage
- Good deals and compatible modification of risk and pricing rule: a regulatory treatment
- Put-call parity and market frictions
- No arbitrage conditions and liquidity
- A new portfolio rebalancing model with transaction costs
- European option pricing with market frictions, regime switches and model uncertainty
- On infinite-horizon minimum-cost hedging under cone constraints
- HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12
- The fundamental theorem of asset pricing in the presence of bid-ask and interest rate spreads
- The Harrison-Pliska arbitrage pricing theorem under transaction costs
- Martingales and arbitrage in multiperiod securities markets
- Shortfall risk minimization under fixed transaction costs
- Sticky Continuous Processes have Consistent Price Systems
- Fundamental theorem of asset pricing under fixed and proportional costs in multi-asset setting and finite probability space
- Asset pricing and hedging in financial markets with fixed and proportional transaction costs
- Admissible Trading Strategies Under Transaction Costs
- American contingent claims under small proportional transaction costs
- Trading with small nonlinear price impact
- Options under proportional transaction costs: An algorithmic approach to pricing and hedging
- Conic asset pricing and the costs of price fluctuations
- American options under proportional transaction costs: pricing, hedging and stopping algorithms for long and short positions
- Computation of arbitrage in frictional bond markets
- The Dalang-Morton-Willinger theorem under cone constraints.
- Submodular financial markets with frictions
- Equilibria under Knightian price uncertainty
- Optimal investment and contingent claim valuation with exponential disutility under proportional transaction costs
- A complement to the Grigoriev theorem for the Kabanov model
- Risk-neutral valuation with infinitely many trading dates
- Choquet pricing and equilibrium.
- Fundamental theorem of asset pricing under fixed and proportional transaction costs
- Option overlay strategies
- Updating pricing rules
- Utility maximization problem with random endowment and transaction costs: when wealth may become negative
- Merton problem in an infinite horizon and a discrete time with frictions
- Market consistent valuations with financial imperfection
- The balance space approach in optimization with Riesz spaces valued objectives. An application to financial markets.
- On the existence of shadow prices
- Markets as a counterparty: an introduction to conic finance
- Superhedging in illiquid markets
- Explicit solution to the multivariate super-replication problem under transaction costs.
- Consistent price systems in multiasset markets
- The super-replication theorem under proportional transaction costs revisited
- Multivariate utility maximization with proportional transaction costs
- Discrete-time market models from the small investor point of view and the first fundamental-type theorem
- 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
- General Arbitrage Pricing Model: II – Transaction Costs
- Acceptability indexes via \(g\)-expectations: an application to liquidity risk
- Game options with gradual exercise and cancellation under proportional transaction costs
- Necessary and sufficient conditions for weak no-arbitrage in securities markets with frictions
- Robust no arbitrage of the second kind with a continuum of assets and proportional transaction costs
- Existence of a Radner equilibrium in a model with transaction costs
- General equilibrium with endogenously incomplete financial markets
- Arbitrage, linear programming and martingales in securities markets with bid-ask spreads
- An algorithm for calculating the set of superhedging portfolios in markets with transaction costs
- Pareto efficient buy and hold investment strategies under order book linked constraints
- On the strategic behavior of large investors: a mean-variance portfolio approach
- How non-arbitrage, viability and numéraire portfolio are related
- On optimal terminal wealth under transaction costs
- Efficient portfolios in financial markets with proportional 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
- The fundamental theorem of asset pricing under transaction costs
- On using shadow prices in portfolio optimization with transaction costs
- A model of optimal consumption under liquidity risk with random trading times
- General financial market model defined by a liquidation value process
- Hedging, arbitrage and optimality with superlinear frictions
- Dynamic bid-ask pricing under Dempster-Shafer uncertainty
- Good deals in markets with friction
- Consistent price systems and face-lifting pricing under transaction costs
- 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
- Asset pricing and hedging in financial markets with transaction costs: an approach based on the von Neumann-Gale model
This page was built for publication: Martingales and arbitage in securities markets with transaction costs
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1897315)