The fundamental theorem of asset pricing for continuous processes under small transaction costs

DOI10.1007/s10436-008-0110-xzbMath1239.91190OpenAlexW2013203876MaRDI QIDQ666440

Miklós Rásonyi, Paolo Guasoni, Walter Schachermayer

Publication date: 8 March 2012

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-008-0110-x

zbMATH Keywords

no arbitragetransaction costsconsistent price system

Mathematics Subject Classification ID

Related Items (49)

IMPLICIT TRANSACTION COSTS AND THE FUNDAMENTAL THEOREMS OF ASSET PRICING ⋮ SHADOW PRICES FOR CONTINUOUS PROCESSES ⋮ COHERENT RISK MEASURE ON L0: NA CONDITION, PRICING AND DUAL REPRESENTATION ⋮ Conditional Distributions of Mandelbrot–van ness Fractional LÉVY Processes and Continuous‐Time ARMA–GARCH‐Type Models with Long Memory ⋮ Efficient portfolios in financial markets with proportional transaction costs ⋮ NO-ARBITRAGE PRICING FOR DIVIDEND-PAYING SECURITIES IN DISCRETE-TIME MARKETS WITH TRANSACTION COSTS ⋮ Admissible Trading Strategies Under Transaction Costs ⋮ Arbitrage theory for non convex financial market models ⋮ CRITICAL TRANSACTION COSTS AND 1-STEP ASYMPTOTIC ARBITRAGE IN FRACTIONAL BINARY MARKETS ⋮ Sticky Continuous Processes have Consistent Price Systems ⋮ How non-arbitrage, viability and numéraire portfolio are related ⋮ Semimartingale price systems in models with transaction costs beyond efficient friction ⋮ Super‐replication with transaction costs under model uncertainty for continuous processes ⋮ Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs ⋮ Long memory affine term structure models ⋮ Consistent price systems and face-lifting pricing under transaction costs ⋮ Modelling NASDAQ series by sparse multifractional Brownian motion ⋮ No-arbitrage of second kind in countable markets with proportional transaction costs ⋮ On stochastic integration for volatility modulated Lévy-driven Volterra processes ⋮ Duality Formulas for Robust Pricing and Hedging in Discrete Time ⋮ A Complement to the Grigoriev Theorem for the Kabanov Model ⋮ Dynamic programming principle and computable prices in financial market models with transaction costs ⋮ Utility maximization problem with random endowment and transaction costs: when wealth may become negative ⋮ Consistent price systems in multiasset markets ⋮ Remarks on simple arbitrage on markets with bid and ask prices ⋮ Portfolio optimization in discrete time with proportional transaction costs under stochastic volatility ⋮ Absence of arbitrage in a general framework ⋮ The super-replication theorem under proportional transaction costs revisited ⋮ Unnamed Item ⋮ Conditional Full Support of Gaussian Processes with Stationary Increments ⋮ NO MARGINAL ARBITRAGE OF THE SECOND KIND FOR HIGH PRODUCTION REGIMES IN DISCRETE TIME PRODUCTION–INVESTMENT MODELS WITH PROPORTIONAL TRANSACTION COSTS ⋮ Robust utility maximisation in markets with transaction costs ⋮ Simple arbitrage ⋮ Conditional Distributions of Processes Related to Fractional Brownian Motion ⋮ On the Existence Of Consistent Price Systems ⋮ The fundamental theorem of asset pricing under transaction costs ⋮ Asymptotic arbitrage with small transaction costs ⋮ Small transaction costs, absence of arbitrage and consistent price systems ⋮ No arbitrage and lead-lag relationships ⋮ Fundamental theorem of asset pricing under fixed and proportional transaction costs ⋮ On using shadow prices in portfolio optimization with transaction costs ⋮ Robust No Arbitrage of the Second Kind with a Continuum of Assets and Proportional Transaction Costs ⋮ General financial market model defined by a liquidation value process ⋮ Robust no-free lunch with vanishing risk, a continuum of assets and proportional transaction costs ⋮ Continuous-time duality for superreplication with transient price impact ⋮ Asymptotic arbitrage in fractional mixed markets ⋮ Asset price bubbles in markets with transaction costs ⋮ Strong asymptotic arbitrage in the large fractional binary market ⋮ A dynamic version of the super-replication theorem under proportional transaction costs

Cites Work

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