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No-arbitrage in Discrete-time Markets with Proportional Transaction Costs and General Information structure
13 references·1 citing·33 second hop
No-arbitrage in Discrete-time Markets with Proportional Transaction Costs and General Information structure (2006)No-arbitrage in Discrete-time Markets wit…A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)A General Version of the Fund…Additional utility of insiders with imperfect dynamical information (2004)Additional utility of insider…The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time (2003)The Fundamental Theorem of As…On the closedness of sums of convex cones in $L^0$ and the robust no-arbitrage property (2003)On the closedness of sums of …A monetary value for initial information in portfolio optimization (2003)A monetary value for initial …No-arbitrage criteria for financial markets with efficient friction (2002)No-arbitrage criteria for fin…The Harrison–Pliska arbitrage pricing theorem under transaction costs (2001)The Harrison–Pliska arbitrage…A teacher’s note on no-arbitrage criteria (2001)A teacher’s note on no-arbitr…Explicit solution to the multivariate super-replication problem under transaction costs (2000)Explicit solution to the mult…The fundamental theorem of asset pricing for unbounded stochastic processes (1998)The fundamental theorem of as…Martingales and Arbitrage in Securities Markets with Transaction Costs (1995)Martingales and Arbitrage in …MARTINGALE MEASURES FOR DISCRETE‐TIME PROCESSES WITH INFINITE HORIZON (1994)MARTINGALE MEASURES FOR DISCR…A general version of the fundamental theorem of asset pricing (1994)A general version of the fund…Arbitrage Under Transaction Costs Revisited (2009)Arbitrage Under Transaction C…Martingales and stochastic integrals in the theory of continuous trading (1981)Equivalent martingale measures and no-arbitrage in stochastic securities market models (1990)Dual Formulation of the Utility Maximization Problem Under Transaction Costs (2001)Calcul Stochastique et Problèmes de Martingales (1979)Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon (1987)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Finite utility on financial markets with asymmetric information and structure properties of the price dynamics☆ (2005)The Shannon information of filtrations and the additional logarithmic utility of insiders (2006)Stochastic Differential Games with Asymmetric Information (2008)Martingales and arbitrage in multiperiod securities markets (1979)A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time (1992)Actuarial bridges to dynamic hedging and option pricing (1996)Local martingales, arbitrage, and viability (2000)The Pricing of Options and Corporate Liabilities (1973)Arbitrage Theory in Continuous Time (2004)Theory of rational option pricing (2005)Brownian Motion and Stochastic Calculus (2007)Tails, Fears, and Risk Premia (2011)Arbitrage and equilibrium in economies with infinitely many commodities (1981)On utility maximization in discrete-time financial market models (2005)A note on the condition of no unbounded profit with bounded risk (2014)Theory of Rational Option Pricing (1973)Arbitrage Theory in Continuous Time (1998)A super-replication theorem in Kabanov’s model of transaction costs (2006)The fundamental theorem of asset pricing under transaction costs (2012)Asset Pricing in Economies with Frictions (1996)HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12 (1996)LIBOR and swap market models and measures (1997)A Benchmark Approach to Quantitative Finance (2006)MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS (2006)NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND (2006)Duality for Set-Valued Measures of Risk (2010)Arbitrage and duality in nondominated discrete-time models (2015)
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References

  • 2008A General Version of the Fundamental Theorem of Asset Pricing (1994)1,568 cited
  • 1994A general version of the fundamental theorem of asset pricing1,447 cited
  • 1998The fundamental theorem of asset pricing for unbounded stochastic processes710 cited
  • 1995Martingales and Arbitrage in Securities Markets with Transaction Costs424 cited
  • 2003The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time278 cited
  • 1994MARTINGALE MEASURES FOR DISCRETE‐TIME PROCESSES WITH INFINITE HORIZON201 cited
  • 2001A teacher’s note on no-arbitrage criteria127 cited
  • 2001The Harrison–Pliska arbitrage pricing theorem under transaction costs121 cited
  • 2003A monetary value for initial information in portfolio optimization106 cited
  • 2002No-arbitrage criteria for financial markets with efficient friction98 cited
  • 2003On the closedness of sums of convex cones in $L^0$ and the robust no-arbitrage property70 cited
  • 2004Additional utility of insiders with imperfect dynamical information69 cited
  • 2000Explicit solution to the multivariate super-replication problem under transaction costs49 cited

Cited by

  • 2009Arbitrage Under Transaction Costs Revisited20 cited

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