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The Harrison-Pliska arbitrage pricing theorem under transaction costs

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  • Kabanov, Yu. M.
  • Stricker, Ch.

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Bibliographic Info

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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Web page: http://www.elsevier.com/locate/jmateco

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References

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  1. 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.
  2. 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.
  3. Y.M. Kabanov, 1999. "Hedging and liquidation under transaction costs in currency markets," Finance and Stochastics, Springer, vol. 3(2), pages 237-248.
  4. 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.
  5. 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.
  6. repec:fth:inseep:9513 is not listed on IDEAS
  7. 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.
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Cited by:
  1. 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.
  2. Astic, Fabian & Touzi, Nizar, 2007. "No arbitrage conditions and liquidity," Journal of Mathematical Economics, Elsevier, vol. 43(6), pages 692-708, August.
  3. 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.
  4. 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.
  5. 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.
  6. 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.
  7. Erhan Bayraktar & Yuchong Zhang, 2013. "Fundamental Theorem of Asset Pricing under Transaction costs and Model uncertainty," Papers 1309.1420, arXiv.org, revised Sep 2013.
  8. Bruno Bouchard & Emmanuel Temam, 2005. "On the Hedging of American Options in Discrete Time Markets with Proportional Transaction Costs," Papers math/0502189, arXiv.org.
  9. 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.
  10. Dmitry B. Rokhlin, 2006. "Constructive no-arbitrage criterion under transaction costs in the case of finite discrete time," Papers math/0603284, arXiv.org.
  11. Teemu Pennanen & Irina Penner, 2008. "Hedging of claims with physical delivery under convex transaction costs," Papers 0810.2016, arXiv.org.
  12. Alet Roux, 2007. "The fundamental theorem of asset pricing under proportional transaction costs," Papers 0710.2758, arXiv.org.
  13. Alet Roux & Tomasz Zastawniak, 2013. "American options with gradual exercise under proportional transaction costs," Papers 1308.2688, arXiv.org.
  14. Katsiaryna Kaval & Ilya Molchanov, 2005. "Link-save trading and pricing of contingent claims," Finance 0511017, EconWPA.
  15. Bruno Bouchard, 2005. "No-arbitrage in discrete-time markets with proportional transaction costs and general information structure," Papers math/0501045, arXiv.org.
  16. Elyès Jouini, 2001. "Arbitrage and Control Problems in Finance. Presentation," Post-Print halshs-00167152, HAL.
  17. 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.
  18. 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.

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