Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs
No abstract is available for this item.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 16 (2012)
Issue (Month): 1 (January)
|Contact details of provider:|| Web page: http://www.springerlink.com/content/101164/|
|Order Information:||Web: http://link.springer.de/orders.htm|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- 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.
- 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.
- repec:dau:papers:123456789/345 is not listed on IDEAS
- 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.
- Clotilde Napp & Elyès Jouini, 2005.
"Arbitrage and state price deflators in a general intertemporal framework,"
- 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.
- Paolo Guasoni & Mikl\'os R\'asonyi & Walter Schachermayer, 2008. "Consistent price systems and face-lifting pricing under transaction costs," Papers 0803.4416, arXiv.org.
- 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.
- (**), 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.
When requesting a correction, please mention this item's handle: RePEc:spr:finsto:v:16:y:2012:i:1:p:135-154. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla)or (Rebekah McClure)
If references are entirely missing, you can add them using this form.