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Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs

  • Emmanuel Denis

    ()

  • Yuri Kabanov

    ()

No abstract is available for this item.

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File URL: http://hdl.handle.net/10.1007/s00780-010-0144-6
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Article provided by Springer in its journal Finance and Stochastics.

Volume (Year): 16 (2012)
Issue (Month): 1 (January)
Pages: 135-154

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Handle: RePEc:spr:finsto:v:16:y:2012:i:1:p:135-154
Contact details of provider: Web page: http://www.springerlink.com/content/101164/

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References listed on IDEAS
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  1. 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.
  2. 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.
  3. D. Vallière & E. Denis & Y. Kabanov, 2009. "Hedging of American options under transaction costs," Finance and Stochastics, Springer, vol. 13(1), pages 105-119, January.
  4. repec:dau:papers:123456789/345 is not listed on IDEAS
  5. Dimitri De Vallière & Yuri Kabanov & Christophe Stricker, 2007. "No-arbitrage criteria for financial markets with transaction costs and incomplete information," Finance and Stochastics, Springer, vol. 11(2), pages 237-251, April.
  6. Clotilde Napp & Elyès Jouini, 2005. "Arbitrage and state price deflators in a general intertemporal framework," Post-Print halshs-00151526, HAL.
  7. Paolo Guasoni & Mikl\'os R\'asonyi & Walter Schachermayer, 2008. "Consistent price systems and face-lifting pricing under transaction costs," Papers 0803.4416, arXiv.org.
  8. Grigoriev Pavel G., 2005. "On low dimensional case in the fundamental asset pricing theorem with transaction costs," Statistics & Risk Modeling, De Gruyter, vol. 23(1/2005), pages 33-48, January.
  9. (**), 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.
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