General financial market model defined by a liquidation value process

DOI10.1080/17442508.2015.1086348MaRDI QIDQ2804555zbMATHOpenAlexFDO

Authors Emmanuel Lépinette, Tuan Anh Tran

Publication date 4 May 2016

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://hal.science/hal-01103072

zbMATH Keywords

European optionspartial ordertransaction costsAmerican optionshedgingfinancial marketsliquidation value process

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Portfolio theory (91G10) Microeconomic theory (price theory and economic markets) (91B24) Financial applications of other theories (91G80)

Recommendations

• Arbitrage theory for non convex financial market models
• Arbitrage and pricing in a general model with flows
• Hedging and liquidation under transaction costs in currency markets
• Convex duality in optimal investment and contingent claim valuation in illiquid markets
• Model-free superhedging duality

Cites work

• A super-replication theorem in Kabanov's model of transaction costs
• Arbitrage and viability in securities markets with fixed trading costs
• Equivalent martingale measures and no-arbitrage in stochastic securities market models
• Essential supremum and essential maximum with respect to random preference relations
• Essential supremum with respect to a random partial order
• HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH¹²
• Hedging and liquidation under transaction costs in currency markets
• Hedging of American options under transaction costs
• Hedging of claims with physical delivery under convex transaction costs
• Hedging under Transaction Costs in Currency Markets: a Continuous-Time Model
• Markets with transaction costs. Mathematical theory.
• Martingales and arbitage in securities markets with transaction costs
• No-arbitrage of second kind in countable markets with proportional transaction costs
• On the multi-utility representation of preference relations
• Representation of continuous linear forms on the set of ladlag processes and the hedging of American claims under proportional costs
• Robust no-free lunch with vanishing risk, a continuum of assets and proportional transaction costs
• The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
• The fundamental theorem of asset pricing for continuous processes under small transaction costs
• The fundamental theorem of asset pricing under transaction costs

Cited in

(8)

• Arbitrage theory for non convex financial market models
• Random optimization on random sets
• scientific article; zbMATH DE number 7606594 (Why is no real title available?)
• 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
• Fundamental theorem of asset pricing under fixed and proportional transaction costs
• Dynamic programming principle and computable prices in financial market models with transaction costs
• A complement to the Grigoriev theorem for the Kabanov model

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