References

• 1995Martingales and Arbitrage in Securities Markets with Transaction Costs424 cited
• 1992DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS1420 cited
• 2004Liquidity risk and arbitrage pricing theory287 cited
• 2003The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time278 cited
• 2010Liquidity Risk and Arbitrage Pricing Theory277 cited
• 1999Hedging and liquidation under transaction costs in currency markets257 cited
• 1989Theory of vector optimization248 cited
• 2003Hedging and Portfolio Optimization in Financial Markets with a Large Trader226 cited
• 1996Hedging options for a large investor and forward-backward SDE's207 cited
• 1997Market Volatility and Feedback Effects from Dynamic Hedging197 cited
• 2006Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence182 cited
• 2000The Feedback Effect of Hedging in Illiquid Markets153 cited
• 2001The Harrison–Pliska arbitrage pricing theorem under transaction costs121 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 property