Effective securities in arbitrage-free markets with bid-ask spreads at liquidation: a linear programming characterization

DOI10.1016/J.JEDC.2004.11.003MaRDI QIDQ956490zbMATHOpenAlexFDO

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

zbMATH Keywords

linear programmingarbitragebid-ask priceseffective securities

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Special problems of linear programming (transportation, multi-index, data envelopment analysis, etc.) (90C08)

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Cites work

• scientific article; zbMATH DE number 4029251 (Why is no real title available?)
• scientific article; zbMATH DE number 1006369 (Why is no real title available?)
• scientific article; zbMATH DE number 3185418 (Why is no real title available?)
• Arbitrage, linear programming and martingales in securities markets with bid-ask spreads
• CHOQUET PRICING FOR FINANCIAL MARKETS WITH FRICTIONS
• Cash Stream Valuation In the Face of Transaction Costs and Taxes
• DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS¹
• Dynamic Arbitrage-Free Asset Pricing with Proportional Transaction Costs
• Equivalent martingale measures and no-arbitrage in stochastic securities market models
• Financial innovation and arbitrage pricing in frictional economies
• Financial innovations and arbitrage pricing in economies with frictions: Revisited
• Hedging contingent claims with constrained portfolios
• Hedging under Transaction Costs in Currency Markets: a Discrete-Time Model
• Martingales and arbitage in securities markets with transaction costs
• On Super-Replication in Discrete Time under Transaction Costs
• On infinite-horizon minimum-cost hedging under cone constraints
• Price functionals with bid-ask spreads: An axiomatic approach
• The fundamental theorem of asset pricing with cone constraints
• Theory of portfolio optimization in markets with frictions
• Viability and equilibrium in securities markets with frictions

Cited in

(4)

• Calibrated American option pricing by stochastic linear programming
• Financial market structures revealed by pricing rules: efficient complete markets are prevalent
• Pricing rules and Arrow-Debreu ambiguous valuation
• Arbitrage, linear programming and martingales in securities markets with bid-ask spreads

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