Effective securities in arbitrage-free markets with bid-ask spreads at liquidation: a linear programming characterization
DOI10.1016/J.JEDC.2004.11.003zbMATH Open1198.91201OpenAlexW2078085789MaRDI QIDQ956490FDOQ956490
Authors: Mariagiovanna Baccara, Anna Battauz, Fulvio Ortu 
Publication date: 25 November 2008
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2004.11.003
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Cites Work
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Cited In (4)
- Pricing rules and Arrow-Debreu ambiguous valuation
- Arbitrage, linear programming and martingales in securities markets with bid-ask spreads
- Calibrated American option pricing by stochastic linear programming
- Financial market structures revealed by pricing rules: efficient complete markets are prevalent
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