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No arbitrage conditions and liquidity

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  • Astic, Fabian
  • Touzi, Nizar
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Mathematical Economics.

    Volume (Year): 43 (2007)
    Issue (Month): 6 (August)
    Pages: 692-708

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    Handle: RePEc:eee:mateco:v:43:y:2007:i:6:p:692-708

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

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    1. B. Bouchard & Yu. M. Kabanov & N. Touzi, 2001. "Option pricing by large risk aversion utility¶under transaction costs," Decisions in Economics and Finance, Springer, Springer, vol. 24(2), pages 127-136, November.
    2. Bernard Bensaid & Jean-Philippe Lesne & Henri Pagès & José Scheinkman, 1992. "Derivative Asset Pricing With Transaction Costs," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 2(2), pages 63-86.
    3. repec:fth:inseep:9513 is not listed on IDEAS
    4. (**), Christophe Stricker & (*), Miklós Rásonyi & Yuri Kabanov, 2002. "No-arbitrage criteria for financial markets with efficient friction," Finance and Stochastics, Springer, vol. 6(3), pages 371-382.
    5. Umut Çetin & Robert Jarrow & Philip Protter, 2004. "Liquidity risk and arbitrage pricing theory," Finance and Stochastics, Springer, vol. 8(3), pages 311-341, 08.
    6. Rüdiger Frey & Alexander Stremme, 1997. "Market Volatility and Feedback Effects from Dynamic Hedging," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 7(4), pages 351-374.
    7. 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.
    8. 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.
    9. Kabanov, Yu. M. & Stricker, Ch., 2001. "The Harrison-Pliska arbitrage pricing theorem under transaction costs," Journal of Mathematical Economics, Elsevier, vol. 35(2), pages 185-196, April.
    10. Y.M. Kabanov, 1999. "Hedging and liquidation under transaction costs in currency markets," Finance and Stochastics, Springer, vol. 3(2), pages 237-248.
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    Cited by:
    1. \c{C}a\u{g}\in Ararat & Andreas H. Hamel & Birgit Rudloff, 2014. "Set-valued shortfall and divergence risk measures," Papers 1405.4905, arXiv.org.
    2. Teemu Pennanen, 2011. "Arbitrage and deflators in illiquid markets," Finance and Stochastics, Springer, vol. 15(1), pages 57-83, January.
    3. 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.

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