General Arbitrage Pricing Model: II – Transaction Costs

DOI10.1007/978-3-540-71189-6_24MaRDI QIDQ5423767zbMATH OpenOpenAlexFDO

Authors

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

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)

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Cited in

(22)

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• Fundamental theorem of asset pricing under fixed and proportional costs in multi-asset setting and finite probability space
• scientific article; zbMATH DE number 2233611 (Why is no real title available?)
• Link-save trading
• Brownian moving averages have conditional full support
• Consistent price systems and arbitrage opportunities of~the~second kind in models with transaction costs
• Fundamental theorem of asset pricing under fixed and proportional transaction costs
• The fundamental theorem of asset pricing under transaction costs
• General Arbitrage Pricing Model: III – Possibility Approach
• The fundamental theorem of asset pricing for continuous processes under small transaction costs
• Martingales and arbitage in securities markets with transaction costs
• General Arbitrage Pricing Model: I – Probability Approach
• The Harrison-Pliska arbitrage pricing theorem under transaction costs
• A complement to the Grigoriev theorem for the Kabanov model
• Consistent price systems in multiasset markets
• 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
• Implicit transaction costs and the fundamental theorems of asset pricing
• scientific article; zbMATH DE number 2166259 (Why is no real title available?)

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