Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs
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Volume (Year): 16 (2012)
Issue (Month): 1 (January)
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References listed on IDEAS
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- 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.
- 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.
- 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.
- 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.
- Yuri Kabanov & Dimitri De Vallière & Emmanuel Denis, 2009. "Hedging of American options under transaction costs," Post-Print hal-00488688, HAL.
- (**), 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.
- Jouini, Elyes & Napp, Clotilde & Schachermayer, Walter, 2005.
"Arbitrage and state price deflators in a general intertemporal framework,"
Journal of Mathematical Economics,
Elsevier, vol. 41(6), pages 722-734, September.
- Clotilde Napp & Elyès Jouini, 2005. "Arbitrage and state price deflators in a general intertemporal framework," Post-Print halshs-00151526, HAL.
- 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:dau:papers:123456789/345 is not listed on IDEAS
- Paolo Guasoni & Mikl\'os R\'asonyi & Walter Schachermayer, 2008. "Consistent price systems and face-lifting pricing under transaction costs," Papers 0803.4416, arXiv.org.
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