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Arbitrage and deflators in illiquid markets

  • Teemu Pennanen

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    File URL: http://hdl.handle.net/10.1007/s00780-009-0118-8
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    Article provided by Springer in its journal Finance and Stochastics.

    Volume (Year): 15 (2011)
    Issue (Month): 1 (January)
    Pages: 57-83

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    Handle: RePEc:spr:finsto:v:15:y:2011:i:1:p:57-83
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    1. Elyès Jouini & Clotilde Napp, 1999. "Arbitrage and Investment Opportunities," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-034, New York University, Leonard N. Stern School of Business-.
    2. Jaime Cuevas Dermody & R. Tyrrell Rockafellar, 1991. "Cash Stream Valuation In the Face of Transaction Costs and Taxes," Mathematical Finance, Wiley Blackwell, vol. 1(1), pages 31-54.
    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. Napp, C., 2003. "The Dalang-Morton-Willinger theorem under cone constraints," Journal of Mathematical Economics, Elsevier, vol. 39(1-2), pages 111-126, February.
    5. Eckhard Platen & Martin Schweizer, 1998. "On Feedback Effects from Hedging Derivatives," Mathematical Finance, Wiley Blackwell, vol. 8(1), pages 67-84.
    6. 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.
    7. 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.
    8. repec:fth:inseep:9513 is not listed on IDEAS
    9. Teemu Pennanen, 2008. "Superhedging in illiquid markets," Papers 0807.2962, arXiv.org.
    10. 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.
    11. Y.M. Kabanov, 1999. "Hedging and liquidation under transaction costs in currency markets," Finance and Stochastics, Springer, vol. 3(2), pages 237-248.
    12. Jouini, Elyès & Napp, Clotilde, 2001. "Arbitrage and investment opportunities," Economics Papers from University Paris Dauphine 123456789/5591, Paris Dauphine University.
    13. Clotilde Napp & Elyès Jouini, 2005. "Arbitrage and state price deflators in a general intertemporal framework," Post-Print halshs-00151526, HAL.
    14. Kaval, K. & Molchanov, I., 2006. "Link-save trading," Journal of Mathematical Economics, Elsevier, vol. 42(6), pages 710-728, September.
    15. Napp, Clotilde & Jouini, Elyès, 2005. "Arbitrage and state price deflators in a general intertemporal framework," Economics Papers from University Paris Dauphine 123456789/345, Paris Dauphine University.
    16. Astic, Fabian & Touzi, Nizar, 2007. "No arbitrage conditions and liquidity," Economics Papers from University Paris Dauphine 123456789/13388, Paris Dauphine University.
    17. L. Randall Wray & Stephanie Bell, 2004. "Introduction," Chapters, in: Credit and State Theories of Money, chapter 1 Edward Elgar.
    18. Jaime Cuevas Dermody & R. Tyrrell Rockafellar, 1995. "Tax Basis And Nonlinearity In Cash Stream Valuation," Mathematical Finance, Wiley Blackwell, vol. 5(2), pages 97-119.
    19. 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.
    20. Kraus, Alan & Stoll, Hans R, 1972. "Price Impacts of Block Trading on the New York Stock Exchange," Journal of Finance, American Finance Association, vol. 27(3), pages 569-88, June.
    21. Astic, Fabian & Touzi, Nizar, 2007. "No arbitrage conditions and liquidity," Journal of Mathematical Economics, Elsevier, vol. 43(6), pages 692-708, August.
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