Sublinear price functionals under portfolio constraints

DOI10.1016/S0304-4068(99)00024-5MaRDI QIDQ1567183zbMATH OpenFDO

Authors Huyên Pham, Pierre-François Koehl

Publication date 2000

Published in Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL http://crest.science/RePEc/wpstorage/1997-52.pdf

zbMATH Keywords

Bid-ask spreadDual representationPortfolio constraintsPrice functional

Mathematics Subject Classification ID

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Cites work

• Arbitrage and equilibrium in economies with infinitely many commodities
• ARBITRAGE IN SECURITIES MARKETS WITH SHORT-SALES CONSTRAINTS
• DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS¹
• Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
• Hedging contingent claims with constrained portfolios
• scientific article; zbMATH DE number 3806227 (Why is no real title available?)
• Martingales and arbitage in securities markets with transaction costs
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• No arbitrage in discrete time under portfolio constraints.
• On the pricing of contingent claims under constraints
• Optional decompositions under constraints
• Price functionals with bid-ask spreads: An axiomatic approach
• Super-replication in stochastic volatility models under portfolio constraints
• The fundamental theorem of asset pricing with cone constraints
• There is no nontrivial hedging portfolio for option pricing with transaction costs

Cited in

(4)

• Price functionals with bid-ask spreads: An axiomatic approach
• Arbitrage concepts under trading restrictions in discrete-time financial markets
• Submodular financial markets with frictions
• Pricing issues with investment flows. Applications to market models with frictions

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