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

zbMATH Keywords

transaction costsmartingale measurearbitrage

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
• Markets with transaction costs. Mathematical theory.
• 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 under Proportional Transaction Costs in Finite Discrete Time
• The Harrison-Pliska arbitrage pricing theorem under 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 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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