The Harrison-Pliska arbitrage pricing theorem under transaction costs
AbstractNo abstract is available for this item.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Journal of Mathematical Economics.
Volume (Year): 35 (2001)
Issue (Month): 2 (April)
Contact details of provider:
Web page: http://www.elsevier.com/locate/jmateco
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Jouini Elyes & Kallal Hedi, 1995. "Martingales and Arbitrage in Securities Markets with Transaction Costs," Journal of Economic Theory, Elsevier, vol. 66(1), pages 178-197, June.
- repec:fth:inseep:9513 is not listed on IDEAS
- Schachermayer, W., 1992. "A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time," Insurance: Mathematics and Economics, Elsevier, vol. 11(4), pages 249-257, December.
- J. Jacod & A.N. Shiryaev, 1998. "Local martingales and the fundamental asset pricing theorems in the discrete-time case," Finance and Stochastics, Springer, vol. 2(3), pages 259-273.
- Kallal, Hedi & Jouini, Elyès, 1995. "Martingales and arbitrage in securities markets with transaction costs," Economics Papers from University Paris Dauphine 123456789/5630, Paris Dauphine University.
- Y.M. Kabanov, 1999. "Hedging and liquidation under transaction costs in currency markets," Finance and Stochastics, Springer, vol. 3(2), pages 237-248.
- Harrison, J. Michael & Pliska, Stanley R., 1981. "Martingales and stochastic integrals in the theory of continuous trading," Stochastic Processes and their Applications, Elsevier, vol. 11(3), pages 215-260, August.
- Dmitry B. Rokhlin, 2006. "Constructive no-arbitrage criterion under transaction costs in the case of finite discrete time," Papers math/0603284, arXiv.org.
- Emmanuel Denis & Yuri Kabanov, 2012.
"Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs,"
Finance and Stochastics,
Springer, vol. 16(1), pages 135-154, January.
- Kabanov, Yuri & Lépinette-Denis, Emmanuel, 2012. "Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs," Economics Papers from University Paris Dauphine 123456789/9714, Paris Dauphine University.
- Lépinette-Denis, Emmanuel & Kabanov, Yuri, 2012. "Consistent Price Systems and Arbitrage Opportunities of the Second Kind in Models with Transaction Costs," Economics Papers from University Paris Dauphine 123456789/4652, Paris Dauphine University.
- Jouini, Elyes, 2001.
"Arbitrage and control problems in finance: A presentation,"
Journal of Mathematical Economics,
Elsevier, vol. 35(2), pages 167-183, April.
- Elyès Jouini, 2001. "Arbitrage and Control Problems in Finance. Presentation," Post-Print halshs-00167152, HAL.
- Bruno Bouchard, 2005. "No-arbitrage in discrete-time markets with proportional transaction costs and general information structure," Papers math/0501045, arXiv.org.
- Teemu Pennanen & Irina Penner, 2008. "Hedging of claims with physical delivery under convex transaction costs," Papers 0810.2016, arXiv.org.
- Igor V. Evstigneev & Klaus Schürger & Michael I. Taksar, 2004.
"On The Fundamental Theorem Of Asset Pricing: Random Constraints And Bang-Bang No-Arbitrage Criteria,"
Wiley Blackwell, vol. 14(2), pages 201-221.
- Igor V. Evstigneev & Klaus Schürger & Michael I. Taksar, 2002. "On the fundamental theorem of asset pricing: random constraints and bang-bang no-arbitrage criteria," Bonn Econ Discussion Papers bgse24_2002, University of Bonn, Germany.
- Astic, Fabian & Touzi, Nizar, 2007. "No arbitrage conditions and liquidity," Journal of Mathematical Economics, Elsevier, vol. 43(6), pages 692-708, August.
- M. Dempster & I. Evstigneev & M. Taksar, 2006.
"Asset Pricing and Hedging in Financial Markets with Transaction Costs: An Approach Based on the Von Neumann–Gale Model,"
Annals of Finance,
Springer, vol. 2(4), pages 327-355, October.
- M A H Dempster & I V Evstigneev & M I Taksar, 2005. "Asset pricing and hedging in financial markets with transaction costs: an approach based on the von Neumann-Gale model," Working Papers 062005, University of Cambridge, Judge Business School, Centre for Financial Research.
- Alet Roux & Tomasz Zastawniak, 2013. "American options with gradual exercise under proportional transaction costs," Papers 1308.2688, arXiv.org.
- Bion-Nadal, Jocelyne, 2009. "Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk," Journal of Mathematical Economics, Elsevier, vol. 45(11), pages 738-750, December.
- Wael Bahsoun & Igor V. Evstigneev & Michael I. Taksar, 2009. "Growth-optimal investments and numeraire portfolios under transaction costs: An analysis based on the von Neumann-Gale model," Papers 0909.4730, arXiv.org.
- Bruno Bouchard & Emmanuel Temam, 2005. "On the Hedging of American Options in Discrete Time Markets with Proportional Transaction Costs," Papers math/0502189, arXiv.org.
- Erhan Bayraktar & Yuchong Zhang, 2013. "Fundamental Theorem of Asset Pricing under Transaction costs and Model uncertainty," Papers 1309.1420, arXiv.org, revised Sep 2013.
- Wael Bahsoun & Igor Evstigneev & Michael Taksar, 2007. "Capital growth theory and von Neumann-Gale dynamics," The School of Economics Discussion Paper Series 0720, Economics, The University of Manchester.
- Roux, Alet, 2011. "The fundamental theorem of asset pricing in the presence of bid-ask and interest rate spreads," Journal of Mathematical Economics, Elsevier, vol. 47(2), pages 159-163, March.
- Alet Roux, 2007. "The fundamental theorem of asset pricing under proportional transaction costs," Papers 0710.2758, arXiv.org.
- Katsiaryna Kaval & Ilya Molchanov, 2005. "Link-save trading and pricing of contingent claims," Finance 0511017, EconWPA.
- Duffie, Darrell, 2003. "Intertemporal asset pricing theory," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 11, pages 639-742 Elsevier.
- Christoph Czichowsky & Johannes Muhle-Karbe & Walter Schachermayer, 2012. "Transaction Costs, Shadow Prices, and Duality in Discrete Time," Papers 1205.4643, arXiv.org, revised Jan 2014.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.