Fundamental theorem of asset pricing under fixed and proportional costs in multi-asset setting and finite probability space

DOI10.1007/S10203-024-00439-ZMaRDI QIDQ6581909zbMATH OpenFDO

Authors Tomasz Zastawniak

Publication date 1 August 2024

Published in Decisions in Economics and Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/S10203-024-00439-Z

zbMATH Keywords

arbitragemartingale measuretransaction costs

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• Arbitrage and viability in securities markets with fixed trading 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
• Arbitrage theory for non convex financial market models
• Arbitrage, linear programming and martingales in securities markets with bid-ask spreads
• Consistent price systems and arbitrage opportunities of~the~second kind in models with transaction costs
• Dynamic Arbitrage-Free Asset Pricing with Proportional Transaction Costs
• Equivalent martingale measures and no-arbitrage in stochastic securities market models
• Fundamental theorem of asset pricing under fixed and proportional transaction costs
• General Arbitrage Pricing Model: II – Transaction Costs
• General financial market model defined by a liquidation value process
• Hedging and liquidation under transaction costs in currency markets
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• Martingales and arbitage in securities markets with transaction costs
• Martingales and stochastic integrals in the theory of continuous trading
• NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND
• No-arbitrage in discrete-time markets with proportional transaction costs and general information structure
• Non-arbitrage criteria for financial markets with efficient friction
• On low dimensional case in the fundamental asset pricing theorem with transaction costs
• Robust hedging with proportional transaction costs
• The fundamental theorem of asset pricing for continuous processes under small transaction costs
• The fundamental theorem of asset pricing for unbounded stochastic processes
• The fundamental theorem of asset pricing in the presence of bid-ask and interest rate spreads
• The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
• The fundamental theorem of asset pricing under transaction costs
• The Harrison-Pliska arbitrage pricing theorem under transaction costs
• The mathematics of arbitrage

Cited in

(1)

• Fundamental theorem of asset pricing: a strengthened version and a martingale measures search area

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