Consistent price systems in multiasset markets
DOI10.1155/2012/687376zbMATH Open1282.91112OpenAlexW1979269981WikidataQ58689573 ScholiaQ58689573MaRDI QIDQ448327FDOQ448327
Authors: Florian Maris, Hasanjan Sayit 
Publication date: 6 September 2012
Published in: International Journal of Stochastic Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2012/687376
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Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Applications of stochastic analysis (to PDEs, etc.) (60H30) Microeconomic theory (price theory and economic markets) (91B24) Financial applications of other theories (91G80)
Cites Work
- A general version of the fundamental theorem of asset pricing
- On the possibility of hedging options in the presence of transaction costs
- The fundamental theorem of asset pricing for continuous processes under small transaction costs
- A closed-form solution to the problem of super-replication under transaction costs
- Martingales and arbitage in securities markets with transaction costs
- Consistent price systems and face-lifting pricing under transaction costs
- The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
- Markets with transaction costs. Mathematical theory.
- Pricing by hedging and no-arbitrage beyond semimartingales
- NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND
- Arbitrage-free models in markets with transaction costs
- The super-replication problem via probabilistic methods
- Consistent price systems for bounded processes
- Conditional full support of Gaussian processes with stationary increments
- On the stickiness property
- On the existence of consistent price systems
- General Arbitrage Pricing Model: II – Transaction Costs
- Brownian moving averages have conditional full support
Cited In (8)
- Diversity and no arbitrage
- Sticky Continuous Processes have Consistent Price Systems
- Hedging, arbitrage and optimality with superlinear frictions
- Absence of arbitrage in a general framework
- Existence of coordinating prices in dynamic systems
- Consistent price systems for subfiltrations
- On the existence of consistent price systems
- Consistent price systems for bounded processes
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