A Simple Counterexample to Several Problems in the Theory of Asset Pricing

Citations

Cited by:

1. Anna Aksamit & Tahir Choulli & Jun Deng & Monique Jeanblanc, 2015. "Non-Arbitrage Under Additional Information for Thin Semimartingale Models," Papers 1505.00997, arXiv.org.
2. Philip Protter, 2013. "Strict Local Martingales with Jumps," Papers 1307.2436, arXiv.org, revised Mar 2014.
3. Aleksandar Mijatovi'c & Mikhail Urusov, 2010. "Deterministic criteria for the absence of arbitrage in one-dimensional diffusion models," Papers 1005.1861, arXiv.org.
4. Aleksandar Mijatović & Mikhail Urusov, 2012. "Deterministic criteria for the absence of arbitrage in one-dimensional diffusion models," Finance and Stochastics, Springer, vol. 16(2), pages 225-247, April.
5. Kasper Larsen & Halil Mete Soner & Gordan v{Z}itkovi'c, 2017. "Conditional Davis Pricing," Papers 1702.02087, arXiv.org, revised Aug 2018.
6. Delia Coculescu & Aditi Dandapani, 2020. "Insiders and their Free Lunches: the Role of Short Positions," Papers 2012.00359, arXiv.org, revised Jan 2022.
7. Larsen, Kasper & Zitkovic, Gordan, 2007. "Stability of utility-maximization in incomplete markets," Stochastic Processes and their Applications, Elsevier, vol. 117(11), pages 1642-1662, November.
8. Ruf, Johannes, 2013. "A new proof for the conditions of Novikov and Kazamaki," Stochastic Processes and their Applications, Elsevier, vol. 123(2), pages 404-421.
9. David Criens, 2016. "Deterministic Criteria for the Absence and Existence of Arbitrage in Multi-Dimensional Diffusion Markets," Papers 1609.01621, arXiv.org, revised Dec 2017.
10. David Criens, 2018. "Deterministic Criteria For The Absence And Existence Of Arbitrage In Multi-Dimensional Diffusion Markets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(01), pages 1-41, February.
11. Travis Fisher & Sergio Pulido & Johannes Ruf, 2015. "Financial Models with Defaultable Num\'eraires," Papers 1511.04314, arXiv.org, revised Oct 2017.
12. Anna Aksamit & Tahir Choulli & Jun Deng & Monique Jeanblanc, 2013. "Non-Arbitrage up to Random Horizon for Semimartingale Models," Papers 1310.1142, arXiv.org, revised Feb 2014.
13. Peter Carr & Travis Fisher & Johannes Ruf, 2014. "On the hedging of options on exploding exchange rates," Finance and Stochastics, Springer, vol. 18(1), pages 115-144, January.
    • Peter Carr & Travis Fisher & Johannes Ruf, 2012. "On the Hedging of Options On Exploding Exchange Rates," Papers 1202.6188, arXiv.org, revised Nov 2013.
14. Claudio Fontana, 2013. "Weak and strong no-arbitrage conditions for continuous financial markets," Papers 1302.7192, arXiv.org, revised May 2014.
15. Philip Protter & Aditi Dandapani, 2019. "Strict Local Martingales and the Khasminskii test for Explosions," Papers 1903.02383, arXiv.org.
16. Paolo Guasoni & Miklós Rásonyi, 2015. "Fragility of arbitrage and bubbles in local martingale diffusion models," Finance and Stochastics, Springer, vol. 19(2), pages 215-231, April.
17. Travis Fisher & Sergio Pulido & Johannes Ruf, 2017. "Financial Models with Defaultable Numéraires," Working Papers hal-01240736, HAL.
18. Thorsten Rheinländer & Jenny Sexton, 2011. "Hedging Derivatives," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8062, January.
19. Francesca Biagini & Hans Föllmer & Sorin Nedelcu, 2014. "Shifting martingale measures and the birth of a bubble as a submartingale," Finance and Stochastics, Springer, vol. 18(2), pages 297-326, April.
20. Aditi Dandapani & Philip Protter, 2019. "Strict Local Martingales Via Filtration Enlargement," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 23(01), pages 1-28, December.
21. Claudio Fontana & Monique Jeanblanc & Shiqi Song, 2012. "On arbitrages arising from honest times," Papers 1207.1759, arXiv.org, revised Jul 2013.
22. Kasper Larsen & Halil Mete Soner & Gordan Žitković, 2020. "Conditional Davis pricing," Finance and Stochastics, Springer, vol. 24(3), pages 565-599, July.
23. Protter, Philip, 2015. "Strict local martingales with jumps," Stochastic Processes and their Applications, Elsevier, vol. 125(4), pages 1352-1367.
24. Dandapani, Aditi & Protter, Philip, 2022. "Strict local martingales and the Khasminskii test for explosions," Stochastic Processes and their Applications, Elsevier, vol. 150(C), pages 716-728.
25. Kasper Larsen & Hang Yu, 2012. "Horizon dependence of utility optimizers in incomplete models," Finance and Stochastics, Springer, vol. 16(4), pages 779-801, October.
26. Kasper Larsen & Gordan Zitkovic, 2007. "Stability of utility-maximization in incomplete markets," Papers 0706.0474, arXiv.org.
27. Sergio Pulido, 2010. "The fundamental theorem of asset pricing, the hedging problem and maximal claims in financial markets with short sales prohibitions," Papers 1012.3102, arXiv.org, revised Jan 2014.
28. Claudio Fontana, 2015. "Weak And Strong No-Arbitrage Conditions For Continuous Financial Markets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(01), pages 1-34.
29. Claudio Fontana & Monique Jeanblanc & Shiqi Song, 2014. "On arbitrages arising with honest times," Finance and Stochastics, Springer, vol. 18(3), pages 515-543, July.
30. Fatma Haba & Antoine Jacquier, 2015. "Asymptotic Arbitrage In The Heston Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(08), pages 1-18, December.
    • Fatma Haba & Antoine Jacquier, 2013. "Asymptotic arbitrage in the Heston model," Papers 1302.6491, arXiv.org, revised Apr 2014.
31. Roseline Bilina Falafala & Robert A. Jarrow & Philip Protter, 2016. "Relative asset price bubbles," Annals of Finance, Springer, vol. 12(2), pages 135-160, May.