Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

The fundamental theorem of asset pricing for continuous processes under small transaction costs

16 references·16 citing·26 second hopsampled

FromToDepth

this work references cited by second hop· second hop is a sample of the most-cited connections

References

2005Stochastic Integration and Differential Equations4,594 cited
1979Martingales and arbitrage in multiperiod securities markets3,595 cited
1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
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
1987Limit Theorems for Stochastic Processes1,319 cited
1990Portfolio Selection with Transaction Costs1,318 cited
1997Arbitrage with Fractional Brownian Motion590 cited
1981Arbitrage and equilibrium in economies with infinitely many commodities537 cited
1995Martingales and Arbitrage in Securities Markets with Transaction Costs424 cited
2005The Mathematics of Arbitrage344 cited
2003Arbitrage in fractional Brownian motion models332 cited
1996HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12317 cited
2005Stochastic Integration and Differential Equations. Second Edition.306 cited
2003The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time278 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

1999Hedging and liquidation under transaction costs in currency markets257 cited

Cited by

2010On using shadow prices in portfolio optimization with transaction costs120 cited
2017Duality Formulas for Robust Pricing and Hedging in Discrete Time65 cited
2012The fundamental theorem of asset pricing under transaction costs61 cited
2011Fractional Processes as Models in Stochastic Finance52 cited
2009Non-degeneracy of Wiener functionals arising from rough differential equations52 cited
2010Multivariate utility maximization with proportional transaction costs43 cited
2015How non-arbitrage, viability and numéraire portfolio are related39 cited
2017Portfolio optimisation beyond semimartingales: Shadow prices and fractional Brownian motion36 cited
2015SHADOW PRICES FOR CONTINUOUS PROCESSES31 cited
2015Long memory affine term structure models31 cited
2013Conditional Distributions of Processes Related to Fractional Brownian Motion31 cited
2011Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs26 cited
2009On hedging European options in geometric fractional Brownian motion market model26 cited
2017Optimal consumption under habit formation in markets with transaction costs and random endowments26 cited
2011Existence of shadow prices in finite probability spaces26 cited
2013On stochastic integration for volatility modulated Lévy-driven Volterra processes25 cited