The fundamental theorem of asset pricing under transaction costs

DOI10.1007/S00780-012-0185-0zbMATH Open1262.91126OpenAlexW3125733168MaRDI QIDQ693033FDOQ693033

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

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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 (58)

• Fundamental theorem of asset pricing under fixed and proportional costs in multi-asset setting and finite probability space
• No free lunch under transaction costs for continuous processes
• Consistent price systems under model uncertainty
• Short communication: A note on utility maximization with proportional transaction costs and stability of optimal portfolios
• Robust no-free lunch with vanishing risk, a continuum of assets and proportional transaction costs
• The fundamental theorem of asset pricing for continuous processes under small transaction costs
• Implicit transaction costs and the fundamental theorems of asset pricing
• Asymptotic arbitrage in large financial markets with friction
• Continuous time trading of a small investor in a limit order market
• The Role of a Reference Yield Fitting Technique in the Fund Transfer Pricing Mechanism
• No arbitrage conditions and liquidity
• THE FUNDAMENTAL THEOREMS OF ASSET PRICING AND THE CLOSED-END FUND PUZZLE
• Extended weak convergence and utility maximisation with proportional transaction costs
• The fundamental theorem of asset pricing in the presence of bid-ask and interest rate spreads
• On the market viability under proportional transaction costs
• Conic asset pricing and the costs of price fluctuations
• Arbitrage with fractional Gaussian processes
• A complement to the Grigoriev theorem for the Kabanov model
• Option overlay strategies
• Fundamental theorem of asset pricing under fixed and proportional transaction costs
• Fundamental Theorems of Asset Pricing for Good Deal Bounds
• FTAP in finite discrete time with transaction costs by utility maximization
• Fundamental theorem of asset pricing under transaction costs and model uncertainty
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• Multivariate utility maximization with proportional transaction costs
• For what trading strategies is the tax payment stream of infinite variation?
• Benchmarking in two price financial markets
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• Vector-valued coherent risk measure processes
• No-arbitrage pricing for dividend-paying securities in discrete-time markets with transaction costs
• Remarks on simple arbitrage on markets with bid and ask prices
• A fundamental theorem of asset pricing for large financial markets.

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