Martingale selection problem and asset pricing in finite discrete time

DOI10.1214/ECP.v12-1240zbMath1128.60032arXivmath/0602594OpenAlexW2147096308MaRDI QIDQ2461006

Dmitry B. Rokhlin

Publication date: 19 November 2007

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0602594

zbMATH Keywords

transaction costsportfolio constraintsprice bounds

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Microeconomic theory (price theory and economic markets) (91B24)

Related Items (4)

Fundamental Theorem of Asset Pricing Under Transaction Costs and Model Uncertainty ⋮ Dual representation of superhedging costs in illiquid markets ⋮ Arbitrage and deflators in illiquid markets ⋮ Unnamed Item

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