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Arbitrage Under Transaction Costs Revisited · Study

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ChapterArbitrage Under Transaction Costs Revisited

Miklós Rásonyi2009

Chapter2009

Arbitrage Under Transaction Costs Revisited

Miklós Rásonyi

20 citations·0/0 files stored·Springer eBooks

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Stochastic processes and financial applications Financial Markets and Investment Strategies Economic theories and models

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References

1995Martingales and Arbitrage in Securities Markets with Transaction Costs 1990Equivalent martingale measures and no-arbitrage in stochastic securities market models 1996HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12 2003The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time 1999Hedging and liquidation under transaction costs in currency markets 2009Markets with Transaction Costs 2006NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND 2002Advances in Finance and Stochastics

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2011Consistent price systems and arbitrage opportunities of the second kind in models with transaction costsarticle · 12 shared references 2012The fundamental theorem of asset pricing under transaction costsarticle · 8 shared references 2010Multivariate utility maximization with proportional transaction costsarticle · 8 shared references 2014Transaction Costs, Shadow Prices, and Duality in Discrete Timearticle · 8 shared references 2008The fundamental theorem of asset pricing for continuous processes under small transaction costsarticle · 7 shared references 2010Hedging of Claims with Physical Delivery under Convex Transaction Costsarticle · 7 shared references

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Year2009

Typechapter

Published2009-01-01

VenueSpringer eBooks

Languageen

Citations20

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/978-3-642-02608-9_11

openalex_workW12381429

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