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The Harrison-Pliska arbitrage pricing theorem under transaction costs

  • Kabanov, Yu. M.
  • Stricker, Ch.

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File URL: http://www.sciencedirect.com/science/article/B6VBY-42YFB5V-2/2/55d442cbaa0cdb30b87d6686b75b14ff
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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
Contact details of provider: Web page: http://www.elsevier.com/locate/jmateco

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  1. repec:fth:inseep:9513 is not listed on IDEAS
  2. Y.M. Kabanov, 1999. "Hedging and liquidation under transaction costs in currency markets," Finance and Stochastics, Springer, vol. 3(2), pages 237-248.
  3. 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.
  4. 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.
  5. 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.
  6. Yuri M. Kabanov & Günter Last, 2002. "Hedging under Transaction Costs in Currency Markets: a Continuous-Time Model," Mathematical Finance, Wiley Blackwell, vol. 12(1), pages 63-70.
  7. 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.
  8. Freddy Delbaen & Yuri M. Kabanov & Esko Valkeila, 2002. "Hedging under Transaction Costs in Currency Markets: a Discrete-Time Model," Mathematical Finance, Wiley Blackwell, vol. 12(1), pages 45-61.
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