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

DOI10.1016/J.JMATECO.2010.12.004zbMATH Open1217.91060OpenAlexW1994524358MaRDI QIDQ553523FDOQ553523

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

Recommendations

• Fundamental theorem of asset pricing under fixed and proportional 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
• The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
• The fundamental theorem of asset pricing under transaction costs
• Fundamental theorem of asset pricing under transaction costs and model uncertainty

zbMATH Keywords

fundamental theorem of asset pricingproportional transaction costsdifferent borrowing and lending rates

Mathematics Subject Classification ID

Cites Work

• The fundamental theorem of asset pricing for unbounded stochastic processes
• A general version of the fundamental theorem of asset pricing
• Title not available (Why is that?)
• The Dalang-Morton-Willinger theorem under cone constraints.
• Non-arbitrage criteria for financial markets with efficient friction
• Martingales and arbitage in securities markets with transaction costs
• The mathematics of arbitrage
• ARBITRAGE IN SECURITIES MARKETS WITH SHORT-SALES CONSTRAINTS
• Equivalent martingale measures and no-arbitrage in stochastic securities market models
• The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
• Title not available (Why is that?)
• An Extended Version of the Dalang--Morton--Willinger Theorem under Portfolio Constraints
• The Harrison-Pliska arbitrage pricing theorem under transaction costs
• Martingales and stochastic integrals in the theory of continuous trading
• The fundamental theorem of asset pricing with cone constraints
• HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH¹²
• 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
• 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
• Dynamic Arbitrage-Free Asset Pricing with Proportional Transaction Costs

Cited In (11)

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

This page was built for publication: The fundamental theorem of asset pricing in the presence of bid-ask and interest rate spreads

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q553523)