The fundamental theorem of asset pricing under transaction costs

DOI10.1007/S00780-012-0185-0MaRDI QIDQ693033zbMATH OpenOpenAlexFDO

Authors Paolo Guasoni, Emmanuel Lépinette, Miklós Rásonyi

Publication date 7 December 2012

Published in Finance and Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00780-012-0185-0

zbMATH Keywords

transaction costsfundamental theorem of asset pricingarbitragefinite variationadmissible strategies

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10) Functions of bounded variation, generalizations (26A45) Stochastic integrals (60H05)

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Cited in

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