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Price Functionals with Bid-Ask Spreads : An Axiomatic Approach Author info | Abstract | Publisher info | Download info | Related research | Statistics Elyès Jouini (Crest)
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Paper provided by Centre de Recherche en Economie et Statistique in its series Working Papers with number
97-05.
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References listed on IDEAS 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.: Hansen, Lars Peter & Jagannathan, Ravi, 1991.
"Implications of Security Market Data for Models of Dynamic Economies ,"
Journal of Political Economy ,
University of Chicago Press, vol. 99(2), pages 225-62, April.
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" Implied Binomial Trees ,"
Journal of Finance ,
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Elyès Jouini, 2003.
"Market imperfections, equilibrium and arbitrage ,"
Finance
0312005, EconWPA.
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Other versions: Elyès Jouini & Hédi Kallal, 1999.
"Viability and Equilibrium in Securities Markets with Frictions ,"
New York University, Leonard N. Stern School Finance Department Working Paper Seires
99-036, New York University, Leonard N. Stern School of Business-.
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Other versions: 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.
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Mark Rubinstein., 1994.
"Implied Binomial Trees ,"
Research Program in Finance Working Papers
RPF-232, University of California at Berkeley.
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P, F, Koehl ; H, Pham, .
"Sublinear Price Functionals under Portfolio Constraints ,"
Working Papers
97-52, Centre de Recherche en Economie et Statistique.
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Leland, Hayne E, 1985.
" Option Pricing and Replication with Transactions Costs ,"
Journal of Finance ,
American Finance Association, vol. 40(5), pages 1283-1301, December.
[Downloadable!] (restricted)
Other versions: Jackwerth, Jens Carsten & Rubinstein, Mark, 1996.
" Recovering Probability Distributions from Option Prices ,"
Journal of Finance ,
American Finance Association, vol. 51(5), pages 1611-32, December.
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Boyle, Phelim P & Vorst, Ton, 1992.
" Option Replication in Discrete Time with Transaction Costs ,"
Journal of Finance ,
American Finance Association, vol. 47(1), pages 271-93, March.
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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.
[Downloadable!] (restricted)
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references Cited by : (explanations , 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.)
Alet Roux, 2007.
"The fundamental theorem of asset pricing under proportional transaction costs ,"
Quantitative Finance Papers
0710.2758, arXiv.org.
[Downloadable!]
Katsiaryna Kaval & Ilya Molchanov, 2005.
"Link-save trading and pricing of contingent claims ,"
Finance
0511017, EconWPA.
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Borglin, Anders & Flåm, Sjur, 2007.
"Rationalizing Constrained Contingent Claims ,"
Working Papers
2007:12, Lund University, Department of Economics.
[Downloadable!]
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.
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