No arbitrage conditions and liquidity
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Publication:2642001
DOI10.1016/J.JMATECO.2006.10.005zbMATH Open1178.91172OpenAlexW2079879443MaRDI QIDQ2642001FDOQ2642001
Publication date: 20 August 2007
Published in: Journal of Mathematical Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmateco.2006.10.005
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- Non-arbitrage criteria for financial markets with efficient friction
- Liquidity risk and arbitrage pricing theory
- Martingales and arbitage in securities markets with transaction costs
- The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
- The Harrison-Pliska arbitrage pricing theorem under transaction costs
- Hedging and liquidation under transaction costs in currency markets
- DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS1
- Hedging and Portfolio Optimization in Financial Markets with a Large Trader
- The Feedback Effect of Hedging in Illiquid Markets
- Hedging options for a large investor and forward-backward SDE's
- Option pricing by large risk aversion utility under transaction costs
- Market volatility and feedback effects from dynamic hedging
- On the closedness of sums of convex cones in \(L^0\) and the robust no-arbitrage property
Cited In (10)
- Risk measures beyond frictionless markets
- No trade
- Hedging, arbitrage and optimality with superlinear frictions
- SET-VALUED SHORTFALL AND DIVERGENCE RISK MEASURES
- No arbitrage conditions for simple trading strategies
- Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk
- Liquidity-adjusted risk measures
- Arbitrage and deflators in illiquid markets
- Note on no-arbitrage criteria
- Arbitrage theory for non convex financial market models
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