The fundamental theorem of asset pricing under default and collateral in finite discrete time

DOI10.1016/j.jmaa.2005.06.084zbMath1107.91043OpenAlexW2054977678MaRDI QIDQ2492986

Jaime Orrillo, Borys Alvarez-Samaniego

Publication date: 9 June 2006

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2005.06.084

zbMATH Keywords

incomplete marketarbitrage opportunitycontinuum of statesexogenous collateral

Mathematics Subject Classification ID

Cites Work

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• A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time
• Martingales and arbitage in securities markets with transaction costs
• Endogenous collateral
• 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
• Equivalent martingale measures and no-arbitrage
• The Harrison-Pliska arbitrage pricing theorem under transaction costs

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