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The fundamental theorem of asset pricing for continuous processes under small transaction costs

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  • Paolo Guasoni
  • Miklós Rásonyi

    ()

  • Walter Schachermayer
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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s10436-008-0110-x
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    Bibliographic Info

    Article provided by Springer in its journal Annals of Finance.

    Volume (Year): 6 (2010)
    Issue (Month): 2 (March)
    Pages: 157-191

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    Handle: RePEc:kap:annfin:v:6:y:2010:i:2:p:157-191

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    Web page: http://www.springerlink.com/link.asp?id=112370

    Related research

    Keywords: Transaction costs; No arbitragem; Consistent price systems; G10; G11; G12;

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    References

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    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.:
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    1. Jaksa Cvitanić & Ioannis Karatzas, 1996. "HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH-super-2," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 6(2), pages 133-165.
    2. Yuri M. Kabanov & Günter Last, 2002. "Hedging under Transaction Costs in Currency Markets: a Continuous-Time Model," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 12(1), pages 63-70.
    3. Harrison, J. Michael & Kreps, David M., 1979. "Martingales and arbitrage in multiperiod securities markets," Journal of Economic Theory, Elsevier, vol. 20(3), pages 381-408, June.
    4. Kreps, David M., 1981. "Arbitrage and equilibrium in economies with infinitely many commodities," Journal of Mathematical Economics, Elsevier, vol. 8(1), pages 15-35, March.
    5. Luciano Campi & Walter Schachermayer, 2006. "A super-replication theorem in Kabanov’s model of transaction costs," Finance and Stochastics, Springer, vol. 10(4), pages 579-596, December.
    6. Y.M. Kabanov, 1999. "Hedging and liquidation under transaction costs in currency markets," Finance and Stochastics, Springer, vol. 3(2), pages 237-248.
    7. Harrison, J. Michael & Pliska, Stanley R., 1981. "Martingales and stochastic integrals in the theory of continuous trading," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 11(3), pages 215-260, August.
    8. repec:fth:inseep:9513 is not listed on IDEAS
    9. L. C. G. Rogers, 1997. "Arbitrage with Fractional Brownian Motion," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 7(1), pages 95-105.
    10. W. Schachermayer, 1994. "Martingale Measures For Discrete-Time Processes With Infinite Horizon," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 4(1), pages 25-55.
    11. Paolo Guasoni & Mikl\'os R\'asonyi & Walter Schachermayer, 2008. "Consistent price systems and face-lifting pricing under transaction costs," Papers 0803.4416, arXiv.org.
    12. (**), 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.
    13. 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.
    14. 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.
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    Citations

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    Cited by:
    1. Christian Bender, 2012. "Simple arbitrage," Papers 1210.5391, arXiv.org.
    2. Xiang Yu, 2014. "Optimal Consumption With Habit Formation In Markets with Transaction Costs And Unbounded Random Endowment," Papers 1408.1382, arXiv.org, revised Aug 2014.
    3. Hasanjan Sayit, 2013. "Absence of arbitrage in a general framework," Annals of Finance, Springer, Springer, vol. 9(4), pages 611-624, November.
    4. Christian Bender & Mikko S. Pakkanen & Hasanjan Sayit, 2013. "Sticky continuous processes have consistent price systems," Papers 1310.7857, arXiv.org, revised Aug 2014.
    5. Fernando Cordero & Lavinia Perez-Ostafe, 2014. "Critical transaction costs and 1-step asymptotic arbitrage in fractional binary markets," Papers 1407.8068, arXiv.org.
    6. Beißner, Patrick, 2013. "Coherent Price Systems and Uncertainty-Neutral Valuation," Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 80010, Verein für Socialpolitik / German Economic Association.
    7. Irene Klein & Emmanuel Lepinette & Lavinia Ostafe, 2012. "Large Financial Markets and Asymptotic Arbitrage with Small Transaction Costs," Papers 1211.0443, arXiv.org.
    8. Christoph Czichowsky & Walter Schachermayer & Junjian Yang, 2014. "Shadow prices for continuous processes," Papers 1408.6065, arXiv.org.
    9. Biagini, Francesca & Fink, Holger & Klüppelberg, Claudia, 2013. "A fractional credit model with long range dependent default rate," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 123(4), pages 1319-1347.
    10. Christian Bender & Tommi Sottinen & Esko Valkeila, 2010. "Fractional processes as models in stochastic finance," Papers 1004.3106, arXiv.org.
    11. Luciano Campi & Elyès Jouini & Vincent Porte, 2013. "Efficient portfolios in financial markets with proportional transaction costs," Post-Print halshs-00664074, HAL.
    12. Ha-Young Kim & Frederi Viens, 2012. "Portfolio optimization in discrete time with proportional transaction costs under stochastic volatility," Annals of Finance, Springer, Springer, vol. 8(2), pages 405-425, May.
    13. repec:hal:wpaper:halshs-00664074 is not listed on IDEAS
    14. Christian Bender & Mikko S. Pakkanen & Hasanjan Sayit, 2013. "Sticky continuous processes have consistent price systems," CREATES Research Papers 2013-38, School of Economics and Management, University of Aarhus.
    15. Ehsan Azmoodeh, 2010. "On the fractional Black-Scholes market with transaction costs," Papers 1005.0211, arXiv.org.
    16. Erhan Bayraktar & Xiang Yu, 2013. "On the Market Viability under Proportional Transaction Costs," Papers 1312.3917, arXiv.org.
    17. Guasoni, Paolo & Lépinette-Denis, Emmanuel & Rásonyi, Miklós, 2012. "The fundamental theorem of asset pricing under transaction costs," Economics Papers from University Paris Dauphine 123456789/9300, Paris Dauphine University.
    18. Barndorff-Nielsen, Ole E. & Benth, Fred Espen & Pedersen, Jan & Veraart, Almut E.D., 2014. "On stochastic integration for volatility modulated Lévy-driven Volterra processes," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 124(1), pages 812-847.
    19. Julien Grépat & Yuri Kabanov, 2012. "Small transaction costs, absence of arbitrage and consistent price systems," Finance and Stochastics, Springer, vol. 16(3), pages 357-368, July.
    20. Erindi Allaj, 2013. "Implicit transaction costs and the fundamental theorems of asset pricing," Papers 1310.1882, arXiv.org, revised May 2014.

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