Consistent price systems in multiasset markets

DOI10.1155/2012/687376MaRDI QIDQ448327zbMATH OpenOpenAlexWikidataFDO

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

Mathematics Subject Classification ID

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)

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Cites work

• A closed-form solution to the problem of super-replication under transaction costs
• A general version of the fundamental theorem of asset pricing
• Arbitrage-free models in markets with transaction costs
• Brownian moving averages have conditional full support
• Conditional full support of Gaussian processes with stationary increments
• Consistent price systems and face-lifting pricing under transaction costs
• Consistent price systems for bounded processes
• General Arbitrage Pricing Model: II – Transaction Costs
• Markets with transaction costs. Mathematical theory.
• Martingales and arbitage in securities markets with transaction costs
• NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND
• On the existence of consistent price systems
• On the possibility of hedging options in the presence of transaction costs
• On the stickiness property
• Pricing by hedging and no-arbitrage beyond semimartingales
• 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 super-replication problem via probabilistic methods

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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