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

DOI10.1007/S10203-024-00439-ZzbMATH Open1546.91257MaRDI QIDQ6581909FDOQ6581909

Authors: Tomasz Zastawniak 

Publication date: 1 August 2024

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

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zbMATH Keywords

transaction costsmartingale measurearbitrage

Mathematics Subject Classification ID

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

Cites Work

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• General financial market model defined by a liquidation value process

Cited In (1)

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

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