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

  • 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. Elyégs Jouini & Hédi Kallal, 1995. "Arbitrage In Securities Markets With Short-Sales Constraints," Mathematical Finance, Wiley Blackwell, vol. 5(3), pages 197-232.
  2. repec:dau:papers:123456789/5630 is not listed on IDEAS
  3. Elyès Jouini, 1997. "Price Functionals with Bid-Ask Spreads : An Axiomatic Approach," Working Papers 97-05, Centre de Recherche en Economie et Statistique.
  4. 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.
  5. Elyès Jouini & Clotilde Napp, 2001. "Arbitrage and investment opportunities," Post-Print halshs-00778381, HAL.
  6. Elyès Jouini & Hédi Kallal, 1997. "Viability and Equilibrium in Securities Markets with Frictions," Working Papers 97-07, Centre de Recherche en Economie et Statistique.
  7. Igor V. Evstigneev & Klaus Schürger & Michael I. Taksar, 2004. "On The Fundamental Theorem Of Asset Pricing: Random Constraints And Bang-Bang No-Arbitrage Criteria," Mathematical Finance, Wiley Blackwell, vol. 14(2), pages 201-221.
  8. repec:dau:papers:123456789/5590 is not listed on IDEAS
  9. Jouini, Elyes, 2001. "Arbitrage and control problems in finance: A presentation," Journal of Mathematical Economics, Elsevier, vol. 35(2), pages 167-183, April.
  10. 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.
  11. repec:dau:papers:123456789/5647 is not listed on IDEAS
  12. repec:dau:papers:123456789/5591 is not listed on IDEAS
  13. 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.
  14. repec:crs:wpaper:9514 is not listed on IDEAS
  15. 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.
  16. repec:dau:papers:123456789/5603 is not listed on IDEAS
  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. 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.
  19. 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.
  20. repec:crs:wpaper:9513 is not listed on IDEAS
  21. Y.M. Kabanov, 1999. "Hedging and liquidation under transaction costs in currency markets," Finance and Stochastics, Springer, vol. 3(2), pages 237-248.
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