scientific article; zbMATH DE number 2050998

MaRDI QIDQ4453271zbMATH OpenFDO

Authors Miklós Rásonyi

Publication date 7 March 2004

zbMATH Keywords

contingent claimprice process

Mathematics Subject Classification ID

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(6)

• No free lunch under transaction costs for continuous processes
• A super-replication theorem in Kabanov's model of transaction costs
• Dual representation of superhedging costs in illiquid markets
• The fundamental theorem of asset pricing under transaction costs
• Hedging of American options under transaction costs
• Consistent price systems and arbitrage opportunities of~the~second kind in models with transaction costs

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