Prospective strict no-arbitrage and the fundamental theorem of asset pricing under transaction costs

DOI10.1007/s00780-019-00403-5zbMath1444.91216arXiv1811.11621OpenAlexW3101633199WikidataQ127290339 ScholiaQ127290339MaRDI QIDQ2274232

Christoph Kühn, Alexander Molitor

Publication date: 19 September 2019

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

Full work available at URL: https://arxiv.org/abs/1811.11621

zbMATH Keywords

arbitragefundamental theorem of asset pricingproportional transaction costs

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Financial markets (91G15)

Related Items (2)

MODEL-FREE WEAK NO-ARBITRAGE AND SUPERHEDGING UNDER TRANSACTION COSTS BEYOND EFFICIENT FRICTION ⋮ On the quasi-sure superhedging duality with frictions

Cites Work

• Unnamed Item
• Unnamed Item
• No-arbitrage in discrete-time markets with proportional transaction costs and general information structure
• Markets with transaction costs. Mathematical theory.
• Martingales and stochastic integrals in the theory of continuous trading
• A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time
• A general version of the fundamental theorem of asset pricing
• Non-arbitrage criteria for financial markets with efficient friction
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• On the closedness of sums of convex cones in \(L^0\) and the robust no-arbitrage property
• No arbitrage and closure results for trading cones with transaction costs
• How local in time is the no-arbitrage property under capital gains taxes?
• No-arbitrage criteria for financial markets with transaction costs and incomplete information
• The mathematics of arbitrage
• Equivalent martingale measures and no-arbitrage in stochastic securities market models
• Constructive No-Arbitrage Criterion under Transaction Costs in the Case of Finite Discrete Time
• Variational Analysis
• The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
• A Complement to the Grigoriev Theorem for the Kabanov Model
• On low dimensional case in the fundamental asset pricing theorem with transaction costs
• The Harrison-Pliska arbitrage pricing theorem under transaction costs

This page was built for publication: Prospective strict no-arbitrage and the fundamental theorem of asset pricing under transaction costs