References

• 1995Martingales and Arbitrage in Securities Markets with Transaction Costs424 cited
• 1990Equivalent martingale measures and no-arbitrage in stochastic securities market models421 cited
• 1996HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12317 cited
• 2003The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time278 cited
• 1999Hedging and liquidation under transaction costs in currency markets257 cited
• 2009Markets with Transaction Costs188 cited
• 2006NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND183 cited
• 2002Advances in Finance and Stochastics154 cited
• 2008Consistent price systems and face-lifting pricing under transaction costs137 cited
• 2008The fundamental theorem of asset pricing for continuous processes under small transaction costs123 cited
• 2001The Harrison–Pliska arbitrage pricing theorem under transaction costs121 cited
• 2002No-arbitrage criteria for financial markets with efficient friction98 cited
• 2006A super-replication theorem in Kabanov’s model of transaction costs97 cited
• 2003On the closedness of sums of convex cones in $L^0$ and the robust no-arbitrage property70 cited