General Arbitrage Pricing Model: II – Transaction Costs

DOI10.1007/978-3-540-71189-6_24zbMATH Open1322.91052OpenAlexW60932666MaRDI QIDQ5423767FDOQ5423767

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Publication date: 31 October 2007

Published in: Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-540-71189-6_24

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zbMATH Keywords

transaction costsfundamental theorem of asset pricingrisk-neutral measurefair pricedelta-martingalegeneral arbitrage pricing modelgeneralized arbitrageset of attainable incomes

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cited In (22)

• The fundamental theorem of asset pricing for continuous processes under small transaction costs
• Implicit transaction costs and the fundamental theorems of asset pricing
• General Arbitrage Pricing Model: I – Probability Approach
• The Harrison-Pliska arbitrage pricing theorem under transaction costs
• Fundamental theorem of asset pricing under fixed and proportional costs in multi-asset setting and finite probability space
• A complement to the Grigoriev theorem for the Kabanov model
• Notes about arbitrage of market under transaction costs
• Fundamental theorem of asset pricing under fixed and proportional transaction costs
• Martingales and arbitage in securities markets with transaction costs
• Consistent price systems in multiasset markets
• No-arbitrage of second kind in countable markets with proportional transaction costs
• Brownian moving averages have conditional full support
• The fundamental theorem of asset pricing under transaction costs
• Consistent price systems and face-lifting pricing under transaction costs
• Arbitrage in markets with bid-ask spreads. The fundamental theorem of asset pricing in finite discrete time markets with bid-ask spreads and a money account
• General Arbitrage Pricing Model: III – Possibility Approach
• Title not available (Why is that?)
• Consistent price systems and arbitrage opportunities of~the~second kind in models with transaction costs
• Link-save trading
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• Arbitrage and viability in securities markets with fixed trading costs

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