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No-Arbitrage Pricing For Dividend-Paying Securities In Discrete-Time Markets With Transaction Costs

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  • Tomasz R. Bielecki
  • Igor Cialenco
  • Rodrigo Rodriguez

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  • Tomasz R. Bielecki & Igor Cialenco & Rodrigo Rodriguez, 2015. "No-Arbitrage Pricing For Dividend-Paying Securities In Discrete-Time Markets With Transaction Costs," Mathematical Finance, Wiley Blackwell, vol. 25(4), pages 673-701, October.
    • Handle: RePEc:bla:mathfi:v:25:y:2015:i:4:p:673-701
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    File URL: http://hdl.handle.net/10.1111/mafi.2015.25.issue-4
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    Cited by:

    1. Teemu Pennanen & Ari-Pekka Perkkiö, 2018. "Convex duality in optimal investment and contingent claim valuation in illiquid markets," Finance and Stochastics, Springer, vol. 22(4), pages 733-771, October.
    2. Teemu Pennanen & Ari-Pekka Perkkio, 2016. "Convex duality in optimal investment and contingent claim valuation in illiquid markets," Papers 1603.02867, arXiv.org.
    3. Saul Jacka & Seb Armstrong & Abdel Berkaoui, 2017. "Multi-currency reserving for coherent risk measures," Papers 1712.01319, arXiv.org, revised Dec 2017.

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