Asset pricing in an imperfect world

DOI10.1007/s00199-016-0999-7zbMath1398.91285arXiv1410.6408OpenAlexW3098999640MaRDI QIDQ683829

Gianluca Cassese

Publication date: 9 February 2018

Published in: Economic Theory (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1410.6408

zbMATH Keywords

coherencetransaction costsarbitragebubblesfundamental theorem of asset pricingbid/ask spreadsrisk-neutral probability

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Complete and competitive financial markets in a complex world, NONPARAMETRIC ESTIMATES OF OPTION PRICES AND RELATED QUANTITIES

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Arbitrage and deflators in illiquid markets
• The fundamental theorem of asset pricing in the presence of bid-ask and interest rate spreads
• Continuous-time trading and the emergence of probability
• Rational asset pricing bubbles and portfolio constraints
• On general minimax theorems
• No-arbitrage in discrete-time markets with proportional transaction costs and general information structure
• Put-call parity and market frictions
• Sure wins, separating probabilities and the representation of linear functionals
• Martingales and arbitrage in multiperiod securities markets
• Arbitrage and equilibrium in economies with infinitely many commodities
• Equilibrium interest rate and liquidity premium with transaction costs
• Spanning, valuation and options
• A general version of the fundamental theorem of asset pricing
• Bubbles as payoffs at infinity
• The Dalang-Morton-Willinger theorem under cone constraints.
• Rational equilibrium asset-pricing bubbles in continuous trading models
• Knightian decision theory. I.
• Martingales and arbitage in securities markets with transaction costs
• Financial economics without probabilistic prior assumptions
• Local martingales, bubbles and option prices
• ASSET PRICING WITH NO EXOGENOUS PROBABILITY MEASURE
• Objective and Subjective Rationality in a Multiple Prior Model
• CASH SUBADDITIVE RISK MEASURES AND INTEREST RATE AMBIGUITY
• Bubbles and Charges
• CHOQUET PRICING FOR FINANCIAL MARKETS WITH FRICTIONS
• DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS¹
• The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
• OPTIMAL NUMERAIRES FOR RISK MEASURES
• Asset Pricing in Economies with Frictions
• Financial models with defaultable numéraires
• The Harrison-Pliska arbitrage pricing theorem under transaction costs
• Arbitrage and investment opportunities
• Financial markets with endogenous transaction costs