Fundamental theorem of asset pricing under fixed and proportional transaction costs

DOI10.1007/s10436-020-00367-zzbMath1461.91325arXiv1905.01859OpenAlexW3122234373MaRDI QIDQ2022927

Yanyan Li

Publication date: 3 May 2021

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1905.01859

zbMATH Keywords

transaction costsmartingale measurearbitrage

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• Robust hedging with proportional transaction costs
• The fundamental theorem of asset pricing in the presence of bid-ask and interest rate spreads
• The fundamental theorem of asset pricing for continuous processes under small transaction costs
• The fundamental theorem of asset pricing under transaction costs
• No-arbitrage in discrete-time markets with proportional transaction costs and general information structure
• 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
• Markets with transaction costs. Mathematical theory.
• Martingales and stochastic integrals in the theory of continuous trading
• The fundamental theorem of asset pricing for unbounded stochastic processes
• Hedging and liquidation under transaction costs in currency markets
• Non-arbitrage criteria for financial markets with efficient friction
• Arbitrage, linear programming and martingales in securities markets with bid-ask spreads
• Consistent price systems and arbitrage opportunities of~the~second kind in models with transaction costs
• Martingales and arbitage in securities markets with transaction costs
• Arbitrage theory for non convex financial market models
• The mathematics of arbitrage
• General financial market model defined by a liquidation value process
• 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
• Dynamic Arbitrage-Free Asset Pricing with Proportional Transaction Costs
• General Arbitrage Pricing Model: II – Transaction Costs
• NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND
• On low dimensional case in the fundamental asset pricing theorem with transaction costs
• The Harrison-Pliska arbitrage pricing theorem under transaction costs
• Arbitrage and viability in securities markets with fixed trading costs

This page was built for publication: Fundamental theorem of asset pricing under fixed and proportional transaction costs