Arbitrage theory for non convex financial market models
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Cites work
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Cited in
(29)- Non-arbitrage criteria for financial markets with efficient friction
- Super-replication with fixed transaction costs
- Alternative models for markets with nonconvexities
- Stochastic measures of arbitrage.
- The arbitrage pricing theorem with non-expected utility preferences
- Arbitrage approximation theory
- Fundamental theorem of asset pricing under fixed and proportional transaction costs
- Investment effects of pricing schemes for non-convex markets
- Arbitrage-free pricing of derivatives in nonlinear market models
- Dynamic programming principle and computable prices in financial market models with transaction costs
- General financial market model defined by a liquidation value process
- New methods in the arbitrage theory of financial markets with transaction costs
- A remark on the set of arbitrage-free prices in a multi-period model
- scientific article; zbMATH DE number 1878079 (Why is no real title available?)
- Arbitrage and deflators in illiquid markets
- scientific article; zbMATH DE number 7606594 (Why is no real title available?)
- A complement to the Grigoriev theorem for the Kabanov model
- Arbitrage Theory in Continuous Time
- Market Models with Optimal Arbitrage
- Implicit transaction costs and the fundamental theorems of asset pricing
- A NOTE ON ARBITRAGE AND CLOSED CONVEX CONES
- A model of incomplete nonarbitration (B, S)-market taking into account rigid buying up of the shares
- 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
- Conditional indicators
- Numerical schemes for the super-hedging prices in general models with transaction costs
- On general financial markets with concave transactions costs
- Geometric arbitrage theory and market dynamics
- How non-arbitrage, viability and numéraire portfolio are related
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