No-arbitrage in discrete-time markets with proportional transaction costs and general information structure
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Publication:854277
DOI10.1007/S00780-006-0002-8zbMath1101.91030arXivmath/0501045OpenAlexW1575374994MaRDI QIDQ854277
Publication date: 8 December 2006
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0501045
Related Items (9)
General indifference pricing with small transaction costs ⋮ NO-ARBITRAGE PRICING FOR DIVIDEND-PAYING SECURITIES IN DISCRETE-TIME MARKETS WITH TRANSACTION COSTS ⋮ Robust Utility Maximization in Discrete-Time Markets with Friction ⋮ A convex duality approach for pricing contingent claims under partial information and short selling constraints ⋮ No-arbitrage criteria for financial markets with transaction costs and incomplete information ⋮ Problems of Mathematical Finance by Stochastic Control Methods ⋮ Asset pricing in an imperfect world ⋮ Prospective strict no-arbitrage and the fundamental theorem of asset pricing under transaction costs ⋮ Fundamental theorem of asset pricing under fixed and proportional transaction costs
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