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Asset Pricing and Hedging in Financial Markets with Transaction Costs: An Approach Based on the Von Neumann–Gale Model

Listed author(s):
  • M. Dempster

    ()

  • I. Evstigneev

    ()

  • M. Taksar

    ()

No abstract is available for this item.

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File URL: http://hdl.handle.net/10.1007/s10436-006-0042-2
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Article provided by Springer in its journal Annals of Finance.

Volume (Year): 2 (2006)
Issue (Month): 4 (October)
Pages: 327-355

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Handle: RePEc:kap:annfin:v:2:y:2006:i:4:p:327-355
DOI: 10.1007/s10436-006-0042-2
Contact details of provider: Web page: http://www.springer.com

Order Information: Web: http://www.springer.com/finance/journal/10436/PS2

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  1. repec:dau:papers:123456789/5647 is not listed on IDEAS
  2. repec:dau:papers:123456789/5590 is not listed on IDEAS
  3. Elyès Jouini, 1999. "Price Functionals with Bid-Ask Spreads: An Axiomatic Approach," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-038, New York University, Leonard N. Stern School of Business-.
  4. Y.M. Kabanov, 1999. "Hedging and liquidation under transaction costs in currency markets," Finance and Stochastics, Springer, vol. 3(2), pages 237-248.
  5. Elyégs Jouini & Hédi Kallal, 1995. "Arbitrage In Securities Markets With Short-Sales Constraints," Mathematical Finance, Wiley Blackwell, vol. 5(3), pages 197-232.
  6. Jouini, Elyes, 2001. "Arbitrage and control problems in finance: A presentation," Journal of Mathematical Economics, Elsevier, vol. 35(2), pages 167-183, April.
  7. repec:dau:papers:123456789/5630 is not listed on IDEAS
  8. repec:dau:papers:123456789/5591 is not listed on IDEAS
  9. 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.
  10. Elyès Jouini & Clotilde Napp, 1998. "Arbitrage and Investment Opportunities," Working Papers 98-29, Centre de Recherche en Economie et Statistique.
  11. repec:crs:wpaper:9513 is not listed on IDEAS
  12. Igor V. Evstigneev & Klaus Schürger & Michael I. Taksar, 2002. "On the fundamental theorem of asset pricing: random constraints and bang-bang no-arbitrage criteria," Bonn Econ Discussion Papers bgse24_2002, University of Bonn, Germany.
  13. Elyès Jouini & Hédi Kallal, 1997. "Viability and Equilibrium in Securities Markets with Frictions," Working Papers 97-07, Centre de Recherche en Economie et Statistique.
  14. repec:crs:wpaper:9514 is not listed on IDEAS
  15. Napp, Clotilde, 2001. "Pricing issues with investment flows Applications to market models with frictions," Journal of Mathematical Economics, Elsevier, vol. 35(3), pages 383-408, June.
  16. 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.
  17. 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.
  18. Elyès Jouini, 2001. "Arbitrage and investment opportunities," Finance and Stochastics, Springer, vol. 5(3), pages 305-325.
  19. Bernard Bensaid & Jean-Philippe Lesne & Henri Pagès & José Scheinkman, 1992. "Derivative Asset Pricing With Transaction Costs," Mathematical Finance, Wiley Blackwell, vol. 2(2), pages 63-86.
  20. repec:dau:papers:123456789/5603 is not listed on IDEAS
  21. 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.
  22. 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.
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