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ArticleThe fundamental theorem of asset pricing with cone constraints

Huyên Pham1999

Article1999

The fundamental theorem of asset pricing with cone constraints

Huyên Pham · Nizar Touzi

70 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

1981Arbitrage and equilibrium in economies with infinitely many commodities 1995Martingales and Arbitrage in Securities Markets with Transaction Costs 1990Equivalent martingale measures and no-arbitrage in stochastic securities market models 1992A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time 1995ARBITRAGE IN SECURITIES MARKETS WITH SHORT‐SALES CONSTRAINTS 1993The valuation problem in arbitrage price theory

Cited by

2002Utility-Based Derivative Pricing in Incomplete Markets 2015MEAN‐VARIANCE POLICY FOR DISCRETE‐TIME CONE‐CONSTRAINED MARKETS: TIME CONSISTENCY IN EFFICIENCY AND THE MINIMUM‐VARIANCE SIGNED SUPERMARTINGALE MEASURE 2000Dynamic L p -Hedging in Discrete Time under Cone Constraints 2003The Dalang–Morton–Willinger theorem under cone constraints 2006Asset Pricing and Hedging in Financial Markets with Transaction Costs: An Approach Based on the Von Neumann–Gale Model 2009Arbitrage and deflators in illiquid markets 2004On The Fundamental Theorem Of Asset Pricing: Random Constraints And Bang‐Bang No‐Arbitrage Criteria

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2003The Dalang–Morton–Willinger theorem under cone constraintsarticle · 4 shared references 2006Asset Pricing and Hedging in Financial Markets with Transaction Costs: An Approach Based on the Von Neumann–Gale Modelarticle · 4 shared references 2004On The Fundamental Theorem Of Asset Pricing: Random Constraints And Bang‐Bang No‐Arbitrage Criteriaarticle · 4 shared references 2011Dual representation of superhedging costs in illiquid marketsarticle · 4 shared references 2003The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Timearticle · 3 shared references 1996Actuarial bridges to dynamic hedging and option pricingarticle · 3 shared references

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Year1999

Typearticle

Published1999-03-01

VenueJournal of Mathematical Economics

ISSN-L0304-4068

Languageen

Citations70

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/s0304-4068(97)00059-1

openalex_workW2084048281

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2010SUPERHEDGING IN ILLIQUID MARKETS