General financial market model defined by a liquidation value process

DOI10.1080/17442508.2015.1086348zbMATH Open1338.91166OpenAlexW4392476888MaRDI QIDQ2804555FDOQ2804555

Tuan Anh Tran, Emmanuel Lépinette

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)

Cites Work

• The fundamental theorem of asset pricing for continuous processes under small transaction costs
• 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
• 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
• A super-replication theorem in Kabanov's model of transaction costs
• Markets with transaction costs. Mathematical theory.
• Representation of continuous linear forms on the set of ladlag processes and the hedging of American claims under proportional costs
• Hedging and liquidation under transaction costs in currency markets
• Hedging of American options under transaction costs
• HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH¹²
• The fundamental theorem of asset pricing under transaction costs
• Hedging of Claims with Physical Delivery under Convex Transaction Costs
• Essential supremum with respect to a random partial order
• Essential supremum and essential maximum with respect to random preference relations
• Robust no-free lunch with vanishing risk, a continuum of assets and proportional transaction costs
• Hedging under Transaction Costs in Currency Markets: a Continuous-Time Model
• Arbitrage and viability in securities markets with fixed trading costs

Cited In (8)

• 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
• Title not available (Why is that?)
• Arbitrage theory for non convex financial market models
• Random optimization on random sets
• Dynamic programming principle and computable prices in financial market models with transaction costs
• A Complement to the Grigoriev Theorem for the Kabanov Model

This page was built for publication: General financial market model defined by a liquidation value process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2804555)