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Arbitrage and deflators in illiquid markets · Study

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ArticleArbitrage and deflators in illiquid markets

Teemu Pennanen2009

OA

Articlegreen2009

Arbitrage and deflators in illiquid markets

33 citations·0/0 files stored·Finance and Stochastics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Risk and Portfolio Optimization

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References

2001Optimal execution of portfolio transactions 2004Stochastic Finance 1972PRICE IMPACTS OF BLOCK TRADING ON THE NEW YORK STOCK EXCHANGE 1992Convex Duality in Constrained Portfolio Optimization 1995Martingales and Arbitrage in Securities Markets with Transaction Costs 2004Liquidity risk and arbitrage pricing theory 2003The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time 1999Hedging and liquidation under transaction costs in currency markets

Cited by

2012Stochastic programs without duality gaps 2010SUPERHEDGING IN ILLIQUID MARKETS 2015Hedging, arbitrage and optimality with superlinear frictions 2011Dual representation of superhedging costs in illiquid markets 2015Price Systems for Random Amounts

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2010SUPERHEDGING IN ILLIQUID MARKETSarticle · 14 shared references 2011Dual representation of superhedging costs in illiquid marketsarticle · 10 shared references 2011Convex Duality in Stochastic Optimization and Mathematical Financearticle · 7 shared references 2014Optimal investment and contingent claim valuation in illiquid marketsarticle · 7 shared references 2015Hedging, arbitrage and optimality with superlinear frictionsarticle · 7 shared references 2010Hedging of Claims with Physical Delivery under Convex Transaction Costsarticle · 6 shared references

Details

Year2009

Typearticle

Published2009-12-08

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations33

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00780-009-0118-8

openalex_workW2154242301

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