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ArticlePrice functionals with bid–ask spreads: an axiomatic approach

Elyès Jouini2000

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Price functionals with bid–ask spreads: an axiomatic approach

44 citations·0/0 files stored·Journal of Mathematical Economics

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

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References

1979Martingales and arbitrage in multiperiod securities markets 1981Martingales and stochastic integrals in the theory of continuous trading 1994Implied Binomial Trees 1991Implications of Security Market Data for Models of Dynamic Economies 1990Implications of Security Market Data for Models of Dynamic Economies 1996Recovering Probability Distributions from Option Prices 1985Option Pricing and Replication with Transactions Costs 1995Martingales and Arbitrage in Securities Markets with Transaction Costs

Cited by

2017Game Options in an Imperfect Market with Default 2006Asset Pricing and Hedging in Financial Markets with Transaction Costs: An Approach Based on the Von Neumann–Gale Model 2010AN ANALYSIS OF THE SUPPLY CURVE FOR LIQUIDITY RISK THROUGH BOOK DATA 2011Pricing rules and Arrow–Debreu ambiguous valuation 2013Acceptability indexes via $$g$$ -expectations: an application to liquidity risk 2014MULTIDIMENSIONAL DYNAMIC RISK MEASURE VIA CONDITIONAL g ‐EXPECTATION

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Year2000

Typearticle

Published2000-12-01

VenueJournal of Mathematical Economics

ISSN-L0304-4068

Languageen

Citations44

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/s0304-4068(99)00023-3

openalex_workW2014234844

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