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Price Functionals with Bid-Ask Spreads: An Axiomatic Approach

Citations

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Cited by:

  1. Alain Chateauneuf & Bernard Cornet, 2025. "Financial Markets With Hedging Complements," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202510, University of Kansas, Department of Economics.
  2. repec:dau:papers:123456789/9322 is not listed on IDEAS
  3. Katsiaryna Kaval & Ilya Molchanov, 2005. "Link-save trading and pricing of contingent claims," Finance 0511017, University Library of Munich, Germany.
  4. Alet Roux & Tomasz Zastawniak, 2016. "Game options with gradual exercise and cancellation under proportional transaction costs," Papers 1612.02312, arXiv.org.
  5. Bernard Cornet, 2025. "Pricing rules with market frictions: an axiomatic approach," Theory and Decision, Springer, vol. 99(1), pages 123-150, September.
  6. Bellini, Fabio & Koch-Medina, Pablo & Munari, Cosimo & Svindland, Gregor, 2021. "Law-invariant functionals that collapse to the mean," Insurance: Mathematics and Economics, Elsevier, vol. 98(C), pages 83-91.
  7. Kaval, K. & Molchanov, I., 2006. "Link-save trading," Journal of Mathematical Economics, Elsevier, vol. 42(6), pages 710-728, September.
  8. Salvatore Federico & Paul Gassiat, 2014. "Viscosity Characterization of the Value Function of an Investment-Consumption Problem in Presence of an Illiquid Asset," Journal of Optimization Theory and Applications, Springer, vol. 160(3), pages 966-991, March.
  9. Bernard Cornet, 2025. "Characterizing arbitrage-free Choquet pricing," Mathematics and Financial Economics, Springer, volume 19, number 4, December.
  10. Alet Roux, 2007. "The fundamental theorem of asset pricing under proportional transaction costs," Papers 0710.2758, arXiv.org.
  11. Fabio Bellini & Pablo Koch-Medina & Cosimo Munari & Gregor Svindland, 2020. "Law-invariant functionals that collapse to the mean," Papers 2009.04144, arXiv.org, revised Jan 2021.
  12. Bruno Bouchard & Elyès Jouini, 2010. "Transaction Costs in Financial Models," Post-Print halshs-00703138, HAL.
  13. Marcello Basili & Alain Chateauneuf & Giuliano Antonio & Giuseppe Scianna, 2023. "A representation of Keynes's long-term expectation in financial markets," Working Papers hal-03999320, HAL.
  14. Marcello Basili & Alain Chateauneuf & Giuseppe Scianna, 2019. "A consistent representation of Keynes’s long-term expectation in ?nancial market," Department of Economics University of Siena 808, Department of Economics, University of Siena.
  15. Araujo, Aloisio & Chateauneuf, Alain & Faro, José Heleno, 2018. "Financial market structures revealed by pricing rules: Efficient complete markets are prevalent," Journal of Economic Theory, Elsevier, vol. 173(C), pages 257-288.
  16. Napp, Clotilde, 2001. "Pricing issues with investment flows Applications to market models with frictions," Journal of Mathematical Economics, Elsevier, vol. 35(3), pages 383-408, June.
  17. Tokarz, Krzysztof & Zastawniak, Tomasz, 2006. "American contingent claims under small proportional transaction costs," Journal of Mathematical Economics, Elsevier, vol. 43(1), pages 65-85, December.
  18. Bernard Cornet, 2026. "Pricing rules with market frictions: an axiomatic approach," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202606, University of Kansas, Department of Economics.
  19. Koehl, Pierre-F. & Pham, Huyen, 2000. "Sublinear price functionals under portfolio constraints," Journal of Mathematical Economics, Elsevier, vol. 33(3), pages 339-351, April.
  20. Fabio Bellini & Pablo Koch-Medina & Cosimo Munari & Gregor Svindland, 2018. "Law-invariant functionals on general spaces of random variables," Papers 1808.00821, arXiv.org, revised Jan 2021.
  21. Borglin, Anders & Flåm, Sjur, 2007. "Rationalizing Constrained Contingent Claims," Working Papers 2007:12, Lund University, Department of Economics.
  22. M. Dempster & I. Evstigneev & M. Taksar, 2006. "Asset Pricing and Hedging in Financial Markets with Transaction Costs: An Approach Based on the Von Neumann–Gale Model," Annals of Finance, Springer, vol. 2(4), pages 327-355, October.
  23. Alain Chateauneuf & Bernard Cornet, 2022. "Correction to: Submodular financial markets with frictions," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 73(2), pages 745-746, April.
  24. Esmaeil Babaei, 2024. "Asset pricing and hedging in financial markets with fixed and proportional transaction costs," Annals of Finance, Springer, vol. 20(2), pages 259-275, June.
  25. Deelstra, Griselda & Grasselli, Martino & Koehl, Pierre-Francois, 1999. "Conditional dominance criteria: definition and application to risk-management," Insurance: Mathematics and Economics, Elsevier, vol. 25(3), pages 295-306, December.
  26. Aloisio Araujo & Alain Chateauneuf & José Heleno Faro & Bruno Holanda, 2019. "Updating pricing rules," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 68(2), pages 335-361, September.
  27. Baojun Bian & Nan Wu & Harry Zheng, 2012. "Optimal Liquidation in a Finite Time Regime Switching Model with Permanent and Temporary Pricing Impact," Papers 1212.3145, arXiv.org, revised Oct 2014.
  28. Bion-Nadal, Jocelyne, 2009. "Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk," Journal of Mathematical Economics, Elsevier, vol. 45(11), pages 738-750, December.
  29. Aloisio Araujo & Alain Chateauneuf & José Faro, 2012. "Pricing rules and Arrow–Debreu ambiguous valuation," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 49(1), pages 1-35, January.
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