The fundamental theorem of asset pricing in the presence of bid-ask and interest rate spreads
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- repec:dau:papers:123456789/5630 is not listed on IDEAS
- Shunming Zhang & Chunlei Xu & Xiaotie Deng, 2002.
"Dynamic Arbitrage-Free Asset Pricing with Proportional Transaction Costs,"
Wiley Blackwell, vol. 12(1), pages 89-97.
- Xiaotie Deng & Chunlei Xu & Shunming Zhang, 2000. "Dynamic Arbitrage-free Asset Pricing with Proportional Transaction Costs," UWO Department of Economics Working Papers 200013, University of Western Ontario, Department of Economics.
- repec:crs:wpaper:9513 is not listed on IDEAS
- Napp, C., 2003. "The Dalang-Morton-Willinger theorem under cone constraints," Journal of Mathematical Economics, Elsevier, vol. 39(1-2), pages 111-126, February.
- 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.
- Jaksa Cvitanić & Ioannis Karatzas, 1996. "HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH-super-2," Mathematical Finance, Wiley Blackwell, vol. 6(2), pages 133-165.
- Pham, Huyen & Touzi, Nizar, 1999. "The fundamental theorem of asset pricing with cone constraints," Journal of Mathematical Economics, Elsevier, vol. 31(2), pages 265-279, March.
- (**), 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.
- repec:dau:papers:123456789/5647 is not listed on IDEAS
- 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.
- 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.
- repec:crs:wpaper:9514 is not listed on IDEAS
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Gianluca Cassese, 2014. "Option Pricing in an Imperfect World," Papers 1406.0412, arXiv.org, revised Sep 2016.
- Takuji Arai, 2015. "Good deal bounds with convex constraints," Papers 1506.00396, arXiv.org.
- Gianluca Cassese, 2017. "Asset pricing in an imperfect world," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 64(3), pages 539-570, October.
- Takuji Arai, 2016. "Good deal bounds with convex constraints: --- examples and proofs ---," Keio-IES Discussion Paper Series 2016-017, Institute for Economics Studies, Keio University.
- repec:wsi:ijtafx:v:20:y:2017:i:02:n:s021902491750011x is not listed on IDEAS
More about this item
KeywordsFundamental theorem of asset pricing Proportional transaction costs Different borrowing and lending rates;
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:mateco:v:47:y:2011:i:2:p:159-163. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/jmateco .