Link-save trading and pricing of contingent claims
Download full text from publisher
References listed on IDEAS
- Jouini, Elyes, 2000.
"Price functionals with bid-ask spreads: an axiomatic approach,"
Journal of Mathematical Economics,
Elsevier, vol. 34(4), pages 547-558, December.
- Elyès Jouini, 1997. "Price Functionals with Bid-Ask Spreads : An Axiomatic Approach," Working Papers 97-05, Center for Research in Economics and Statistics.
- Elyès Jouini, 1999. "Price Functionals with Bid-Ask Spreads: An Axiomatic Approach," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-038, New York University, Leonard N. Stern School of Business-.
- Hess, Christian, 1991. "On multivalued martingales whose values may be unbounded: martingale selectors and mosco convergence," Journal of Multivariate Analysis, Elsevier, vol. 39(1), pages 175-201, October.
- 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.
- Y.M. Kabanov, 1999. "Hedging and liquidation under transaction costs in currency markets," Finance and Stochastics, Springer, vol. 3(2), pages 237-248.
- 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.
- M. Avellaneda & A. Levy & A. ParAS, 1995. "Pricing and hedging derivative securities in markets with uncertain volatilities," Applied Mathematical Finance, Taylor & Francis Journals, vol. 2(2), pages 73-88.
- repec:dau:papers:123456789/5630 is not listed on IDEAS
- repec:crs:wpaper:9513 is not listed on IDEAS
- Bernard Bensaid & Jean‐Philippe Lesne & Henri Pagès & José Scheinkman, 1992. "Derivative Asset Pricing With Transaction Costs1," Mathematical Finance, Wiley Blackwell, vol. 2(2), pages 63-86, April.
- repec:dau:papers:123456789/9322 is not listed on IDEAS
More about this item
Keywordsbid-ask spread; multiple assets; price process; set-valued process; transaction costs;
- G - Financial Economics
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-MIC-2005-12-09 (Microeconomics)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wpa:wuwpfi:0511017. 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: (EconWPA). General contact details of provider: https://econwpa.ub.uni-muenchen.de .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.