The fundamental theorem of asset pricing in the presence of bid-ask and interest rate spreads

DOI10.1016/J.JMATECO.2010.12.004MaRDI QIDQ553523zbMATH OpenOpenAlexFDO

Authors Alet Roux

Publication date 27 July 2011

Published in Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmateco.2010.12.004

zbMATH Keywords

fundamental theorem of asset pricingproportional transaction costsdifferent borrowing and lending rates

Mathematics Subject Classification ID

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Cites work

• scientific article; zbMATH DE number 1266748 (Why is no real title available?)
• scientific article; zbMATH DE number 3281211 (Why is no real title available?)
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• An Extended Version of the Dalang--Morton--Willinger Theorem under Portfolio Constraints
• Arbitrage, linear programming and martingales in securities markets with bid-ask spreads
• Asset pricing and hedging in financial markets with transaction costs: an approach based on the von Neumann-Gale model
• Dynamic Arbitrage-Free Asset Pricing with Proportional Transaction Costs
• Equivalent martingale measures and no-arbitrage in stochastic securities market models
• HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH¹²
• Martingales and arbitage in securities markets with transaction costs
• Martingales and stochastic integrals in the theory of continuous trading
• Non-arbitrage criteria for financial markets with efficient friction
• On The Fundamental Theorem Of Asset Pricing: Random Constraints And Bang‐Bang No‐Arbitrage Criteria
• On the existence of equivalent \(\tau\)-measures in finite discrete time
• The Dalang-Morton-Willinger theorem under cone constraints.
• The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
• The Harrison-Pliska arbitrage pricing theorem under transaction costs
• The fundamental theorem of asset pricing for unbounded stochastic processes
• The fundamental theorem of asset pricing with cone constraints
• The mathematics of arbitrage

Cited in

(11)

• Dynamic bid-ask pricing under Dempster-Shafer uncertainty
• A comparison of two no-arbitrage conditions
• Fundamental theorem of asset pricing under fixed and proportional costs in multi-asset setting and finite probability space
• The fundamental theorem of asset pricing under default and collateral in finite discrete time
• Asset pricing and hedging in financial markets with fixed and proportional transaction costs
• Fundamental theorem of asset pricing under fixed and proportional transaction costs
• Asset pricing in an imperfect world
• Fundamental Theorems of Asset Pricing for Good Deal Bounds
• The fundamental theorem of asset pricing, the hedging problem and maximal claims in financial markets with short sales prohibitions
• 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
• GOOD DEAL BOUNDS WITH CONVEX CONSTRAINTS

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