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The Harrison-Pliska arbitrage pricing theorem under transaction costs

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Author Info
Kabanov, Yu. M.
Stricker, Ch.
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Article provided by Elsevier in its journal Journal of Mathematical Economics.

Volume (Year): 35 (2001)
Issue (Month): 2 (April)
Pages: 185-196
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Handle: RePEc:eee:mateco:v:35:y:2001:i:2:p:185-196

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  1. Elyès Jouini, 2001. "Arbitrage and Control Problems in Finance. Presentation," Post-Print halshs-00167152_v1, HAL. [Downloadable!]
    Other versions:
  2. Alet Roux, 2007. "The fundamental theorem of asset pricing under proportional transaction costs," Quantitative Finance Papers 0710.2758, arXiv.org. [Downloadable!]
  3. Teemu Pennanen & Irina Penner, 2008. "Hedging of claims with physical delivery under convex transaction costs," Quantitative Finance Papers 0810.2016, arXiv.org. [Downloadable!]
  4. Katsiaryna Kaval & Ilya Molchanov, 2005. "Link-save trading and pricing of contingent claims," Finance 0511017, EconWPA. [Downloadable!]
  5. 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. [Downloadable!]
  6. 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," Quantitative Finance Papers 0909.4730, arXiv.org. [Downloadable!]
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This page was last updated on 2009-12-3.

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