The fundamental theorem of asset pricing under transaction costs

DOI10.1007/s00780-012-0185-0zbMath1262.91126OpenAlexW3125733168MaRDI QIDQ693033

Miklós Rásonyi, Emmanuel Lépinette, Paolo Guasoni

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 costsarbitragefinite variationfundamental theorem of asset pricingadmissible strategies

Mathematics Subject Classification ID

Related Items (34)

IMPLICIT TRANSACTION COSTS AND THE FUNDAMENTAL THEOREMS OF ASSET PRICING ⋮ Arbitrage with fractional Gaussian processes ⋮ Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis ⋮ Benchmarking in two price financial markets ⋮ Efficient portfolios in financial markets with proportional transaction costs ⋮ NO-ARBITRAGE PRICING FOR DIVIDEND-PAYING SECURITIES IN DISCRETE-TIME MARKETS WITH TRANSACTION COSTS ⋮ Arbitrage theory for non convex financial market models ⋮ Von Neumann–Gale model, market frictions and capital growth ⋮ Semimartingale price systems in models with transaction costs beyond efficient friction ⋮ Super‐replication with transaction costs under model uncertainty for continuous processes ⋮ Consumption-investment optimization problem in a Lévy financial model with transaction costs and Làdlàg strategies ⋮ Conic asset pricing and the costs of price fluctuations ⋮ Expected vs. real transaction costs in European option pricing ⋮ Asymptotic arbitrage in large financial markets with friction ⋮ A Complement to the Grigoriev Theorem for the Kabanov Model ⋮ For what trading strategies is the tax payment stream of infinite variation? ⋮ Extended weak convergence and utility maximisation with proportional transaction costs ⋮ Continuous time trading of a small investor in a limit order market ⋮ Remarks on simple arbitrage on markets with bid and ask prices ⋮ Multivariate utility maximization with proportional transaction costs ⋮ Unnamed Item ⋮ Modelling information flows by Meyer-\( \sigma \)-fields in the singular stochastic control problem of irreversible investment ⋮ Asymptotic arbitrage with small transaction costs ⋮ Consistent price systems and arbitrage opportunities of~the~second kind in models with transaction costs ⋮ Asset pricing theory for two price economies ⋮ No arbitrage and lead-lag relationships ⋮ Fundamental theorem of asset pricing under fixed and proportional transaction costs ⋮ Option overlay strategies ⋮ 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 ⋮ VECTOR-VALUED COHERENT RISK MEASURE PROCESSES ⋮ Short Communication: A Note on Utility Maximization with Proportional Transaction Costs and Stability of Optimal Portfolios ⋮ Hedging, arbitrage and optimality with superlinear frictions

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