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General Arbitrage Pricing Model: II – Transaction Costs · Study

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ChapterGeneral Arbitrage Pricing Model: II – Transaction Costs

Alexander S. Cherny2007

Chapter2007

General Arbitrage Pricing Model: II – Transaction Costs

Alexander S. Cherny

23 citations·0/0 files stored·Springer eBooks

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

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References

1999Continuous Martingales and Brownian Motion 1983Stochastic Differential Equations and Diffusion Processes 1979Martingales and arbitrage in multiperiod securities markets 1978Prices of State-Contingent Claims Implicit in Option Prices 1981Arbitrage and equilibrium in economies with infinitely many commodities 1981Les Aspects Probabilistes Du Controle Stochastique 1995Martingales and Arbitrage in Securities Markets with Transaction Costs 1996HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12

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2002Hedging under Transaction Costs in Currency Markets: a Discrete‐Time Modelarticle · 11 shared references 2008Pricing with Coherent Riskarticle · 9 shared references 2002Hedging of Contingent Claims under Transaction Costschapter · 9 shared references 2012The fundamental theorem of asset pricing under transaction costsarticle · 8 shared references 2006Asset Pricing and Hedging in Financial Markets with Transaction Costs: An Approach Based on the Von Neumann–Gale Modelarticle · 8 shared references 1999Super-replication under proportional transaction costs: From discrete to continuous-time modelsarticle · 8 shared references

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Year2007

Typechapter

Published2007-07-24

VenueSpringer eBooks

Languageen

Citations23

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/978-3-540-71189-6_24

openalex_workW60932666

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