IDEAS home Printed from https://ideas.repec.org/r/bla/mathfi/v14y2004i1p19-48.html
   My bibliography  Save this item

The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Christoph Kuhn, 2023. "The fundamental theorem of asset pricing with and without transaction costs," Papers 2307.00571, arXiv.org, revised Aug 2024.
  2. Teemu Pennanen, 2014. "Optimal investment and contingent claim valuation in illiquid markets," Finance and Stochastics, Springer, vol. 18(4), pages 733-754, October.
  3. Bruno Bouchard & Emmanuel Temam, 2005. "On the Hedging of American Options in Discrete Time Markets with Proportional Transaction Costs," Papers math/0502189, arXiv.org.
  4. Bruno Bouchard & Emmanuel Lepinette & Erik Taflin, 2013. "Robust no-free lunch with vanishing risk, a continuum of assets and proportional transaction costs," Papers 1302.0361, arXiv.org.
  5. Yan Dolinsky & H. Mete Soner, 2017. "Convex Duality with Transaction Costs," Mathematics of Operations Research, INFORMS, vol. 42(2), pages 448-471, May.
  6. Patrick Bei{ss}ner, 2012. "Coherent Price Systems and Uncertainty-Neutral Valuation," Papers 1202.6632, arXiv.org.
  7. Walter Farkas & Pablo Koch-Medina & Cosimo Munari, 2013. "Measuring risk with multiple eligible assets," Papers 1308.3331, arXiv.org, revised Mar 2014.
  8. Jan Kallsen & Johannes Muhle-Karbe, 2011. "Existence of shadow prices in finite probability spaces," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 73(2), pages 251-262, April.
  9. Andreas H. Hamel & Birgit Rudloff & Mihaela Yankova, 2012. "Set-valued average value at risk and its computation," Papers 1202.5702, arXiv.org, revised Jan 2013.
  10. Alet Roux & Tomasz Zastawniak, 2013. "American options with gradual exercise under proportional transaction costs," Papers 1308.2688, arXiv.org.
  11. Zachary Feinstein & Birgit Rudloff, 2012. "Multiportfolio time consistency for set-valued convex and coherent risk measures," Papers 1212.5563, arXiv.org, revised Oct 2014.
  12. Beißner, Patrick, 2013. "Coherent Price Systems and Uncertainty-Neutral Valuation," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 80010, Verein für Socialpolitik / German Economic Association.
  13. Alet Roux, 2015. "Pricing and hedging game options in currency models with proportional transaction costs," Papers 1504.07920, arXiv.org, revised Aug 2015.
  14. Luciano Campi & Mark Owen, 2011. "Multivariate utility maximization with proportional transaction costs," Finance and Stochastics, Springer, vol. 15(3), pages 461-499, September.
  15. repec:dau:papers:123456789/4652 is not listed on IDEAS
  16. Molchanov, Ilya, 2013. "Multivariate risk measures : a constructive approach based on selections," DES - Working Papers. Statistics and Econometrics. WS ws130101, Universidad Carlos III de Madrid. Departamento de Estadística.
  17. Bruno Bouchard, 2005. "No-arbitrage in discrete-time markets with proportional transaction costs and general information structure," Papers math/0501045, arXiv.org.
  18. Abdelkarem Berkaoui, 2018. "On the degree of incompleteness of an incomplete financial market," Papers 1811.07509, arXiv.org.
  19. Erhan Bayraktar & Yuchong Zhang, 2016. "Fundamental Theorem of Asset Pricing Under Transaction Costs and Model Uncertainty," Mathematics of Operations Research, INFORMS, vol. 41(3), pages 1039-1054, August.
  20. Yan Dolinsky & Halil Soner, 2013. "Duality and convergence for binomial markets with friction," Finance and Stochastics, Springer, vol. 17(3), pages 447-475, July.
  21. Bruno Bouchard & Marcel Nutz, 2013. "Arbitrage and duality in nondominated discrete-time models," Papers 1305.6008, arXiv.org, revised Mar 2015.
  22. Alet Roux & Tomasz Zastawniak, 2016. "Game options with gradual exercise and cancellation under proportional transaction costs," Papers 1612.02312, arXiv.org.
  23. Yan Dolinsky & H. Soner, 2014. "Robust hedging with proportional transaction costs," Finance and Stochastics, Springer, vol. 18(2), pages 327-347, April.
  24. repec:hum:wpaper:sfb649dp2005-053 is not listed on IDEAS
  25. Gianluca Cassese, 2014. "Option Pricing in an Imperfect World," Papers 1406.0412, arXiv.org, revised Sep 2016.
  26. 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.
  27. Kühn, Christoph & Stroh, Maximilian, 2013. "Continuous time trading of a small investor in a limit order market," Stochastic Processes and their Applications, Elsevier, vol. 123(6), pages 2011-2053.
  28. Alet Roux, 2016. "Pricing And Hedging Game Options In Currency Models With Proportional Transaction Costs," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(07), pages 1-25, November.
  29. Pazdera, Jaroslav, 2018. "Essays on risk exchanges within a collective," Other publications TiSEM 52e0c35f-9009-454d-81af-5, Tilburg University, School of Economics and Management.
  30. Andreas H Hamel & Birgit Rudloff & Zhou Zhou, 2019. "Robust no arbitrage and the solvability of vector-valued utility maximization problems," Papers 1909.00354, arXiv.org.
  31. Stefan Gerhold & I. Cetin Gulum, 2016. "Consistency of option prices under bid-ask spreads," Papers 1608.05585, arXiv.org, revised Jul 2019.
  32. Kaval, K. & Molchanov, I., 2006. "Link-save trading," Journal of Mathematical Economics, Elsevier, vol. 42(6), pages 710-728, September.
  33. Irene Klein & Emmanuel Lépinette & Lavinia Perez-Ostafe, 2014. "Asymptotic arbitrage with small transaction costs," Finance and Stochastics, Springer, vol. 18(4), pages 917-939, October.
  34. Martin Brown & Tomasz Zastawniak, 2019. "Fundamental Theorem of Asset Pricing under fixed and proportional transaction costs," Papers 1905.01859, arXiv.org, revised May 2019.
  35. Takaki Hayashi & Yuta Koike, 2017. "No arbitrage and lead-lag relationships," Papers 1712.09854, arXiv.org.
  36. Cosimo Munari, 2020. "Multi-utility representations of incomplete preferences induced by set-valued risk measures," Papers 2009.04151, arXiv.org.
  37. Zachary Feinstein & Birgit Rudloff, 2018. "Time consistency for scalar multivariate risk measures," Papers 1810.04978, arXiv.org, revised Nov 2021.
  38. Dilip B. Madan, 2016. "Benchmarking in two price financial markets," Annals of Finance, Springer, vol. 12(2), pages 201-219, May.
  39. Gil-Bazo, Javier, 2005. "Market imperfections, discount factors and stochastic dominance: an empirical analysis with oil-linked derivatives," DEE - Working Papers. Business Economics. WB wb055013, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
  40. Andreas H. Hamel & Sophie Qingzhen Wang, 2017. "A set optimization approach to utility maximization under transaction costs," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 40(1), pages 257-275, November.
  41. Emmanuel Lepinette & Ilya Molchanov, 2016. "Risk Arbitrage and Hedging to Acceptability under Transaction Costs," Papers 1605.07884, arXiv.org, revised Apr 2020.
  42. Teemu Pennanen & Ari-Pekka Perkkiö, 2018. "Convex duality in optimal investment and contingent claim valuation in illiquid markets," Finance and Stochastics, Springer, vol. 22(4), pages 733-771, October.
  43. Teemu Pennanen & Ari-Pekka Perkkio, 2016. "Convex duality in optimal investment and contingent claim valuation in illiquid markets," Papers 1603.02867, arXiv.org.
  44. Teemu Pennanen, 2008. "Arbitrage and deflators in illiquid markets," Papers 0807.2526, arXiv.org, revised Apr 2009.
  45. Paolo Guasoni & Mikl'os R'asonyi, 2015. "Hedging, arbitrage and optimality with superlinear frictions," Papers 1506.05895, arXiv.org.
  46. Zachary Feinstein & Birgit Rudloff, 2018. "Scalar multivariate risk measures with a single eligible asset," Papers 1807.10694, arXiv.org, revised Feb 2021.
  47. Zachary Feinstein & Birgit Rudloff, 2013. "Time consistency of dynamic risk measures in markets with transaction costs," Quantitative Finance, Taylor & Francis Journals, vol. 13(9), pages 1473-1489, September.
  48. Jörn Sass & Manfred Schäl, 2014. "Numeraire portfolios and utility-based price systems under proportional transaction costs," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 37(2), pages 195-234, October.
  49. Alet Roux, 2007. "The fundamental theorem of asset pricing under proportional transaction costs," Papers 0710.2758, arXiv.org.
  50. Tomasz R. Bielecki & Igor Cialenco & Ismail Iyigunler & Rodrigo Rodriguez, 2012. "Dynamic Conic Finance: Pricing and Hedging in Market Models with Transaction Costs via Dynamic Coherent Acceptability Indices," Papers 1205.4790, arXiv.org, revised Jun 2013.
  51. Yan Dolinsky & Halil Mete Soner, 2011. "Duality and Convergence for Binomial Markets with Friction," Papers 1106.2095, arXiv.org.
  52. Yan Dolinsky & H. Mete Soner, 2013. "Robust Hedging with Proportional Transaction Costs," Papers 1302.0590, arXiv.org, revised Aug 2013.
  53. Zachary Feinstein & Birgit Rudloff, 2015. "A Supermartingale Relation for Multivariate Risk Measures," Papers 1510.05561, arXiv.org, revised Jan 2018.
  54. Przemys{l}aw Rola, 2014. "Arbitrage in markets with bid-ask spreads," Papers 1407.3372, arXiv.org.
  55. Alet Roux & Tomasz Zastawniak, 2014. "Linear vector optimization and European option pricing under proportional transaction costs," Papers 1407.5877, arXiv.org.
  56. Bruno Bouchard & Elyès Jouini, 2010. "Transaction Costs in Financial Models," Post-Print halshs-00703138, HAL.
  57. Giuseppe Benedetti & Luciano Campi & Jan Kallsen & Johannes Muhle-Karbe, 2011. "On the Existence of Shadow Prices," Papers 1111.6633, arXiv.org, revised Jan 2013.
  58. Emmanuel Denis & Yuri Kabanov, 2012. "Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs," Finance and Stochastics, Springer, vol. 16(1), pages 135-154, January.
  59. Irene Klein & Emmanuel Lepinette & Lavinia Ostafe, 2012. "Large Financial Markets and Asymptotic Arbitrage with Small Transaction Costs," Papers 1211.0443, arXiv.org.
  60. Xiang Yu, 2014. "Optimal Consumption under Habit Formation In Markets with Transaction Costs and Random Endowments," Papers 1408.1382, arXiv.org, revised Jul 2016.
  61. Giuseppe Benedetti & Luciano Campi & Jan Kallsen & Johannes Muhle-Karbe, 2013. "On the existence of shadow prices," Finance and Stochastics, Springer, vol. 17(4), pages 801-818, October.
  62. repec:cte:wbrepe:wb043513 is not listed on IDEAS
  63. Dmitry B. Rokhlin, 2006. "Constructive no-arbitrage criterion under transaction costs in the case of finite discrete time," Papers math/0603284, arXiv.org.
  64. Bentahar, Imen & Bouchard, Bruno, 2005. "Explicit characterization of the super-replication strategy in financial markets with partial transaction costs," SFB 649 Discussion Papers 2005-053, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  65. Ole E. Barndorff-Nielsen & Fred Espen Benth & Almut E. D. Veraart, 2013. "Modelling energy spot prices by volatility modulated L\'{e}vy-driven Volterra processes," Papers 1307.6332, arXiv.org.
  66. Giuseppe Benedetti & Luciano Campi, 2011. "Multivariate utility maximization with proportional transaction costs and random endowment," Working Papers hal-00586377, HAL.
  67. Andreas H. Hamel & Frank Heyde, 2021. "Set-Valued T -Translative Functions and Their Applications in Finance," Mathematics, MDPI, vol. 9(18), pages 1-33, September.
  68. Jörn Sass & Martin Smaga, 2014. "FTAP in finite discrete time with transaction costs by utility maximization," Finance and Stochastics, Springer, vol. 18(4), pages 805-823, October.
  69. Roux, Alet, 2011. "The fundamental theorem of asset pricing in the presence of bid-ask and interest rate spreads," Journal of Mathematical Economics, Elsevier, vol. 47(2), pages 159-163, March.
  70. Luciano Campi & Elyès Jouini & Vincent Porte, 2013. "Efficient portfolios in financial markets with proportional transaction costs," Post-Print halshs-00664074, HAL.
  71. Christoph Kuhn, 2018. "How local in time is the no-arbitrage property under capital gains taxes ?," Papers 1802.06386, arXiv.org, revised Sep 2018.
  72. Przemysław Rola, 2015. "Arbitrage in markets with bid-ask spreads," Annals of Finance, Springer, vol. 11(3), pages 453-475, November.
  73. Hayashi, Takaki & Koike, Yuta, 2019. "No arbitrage and lead–lag relationships," Statistics & Probability Letters, Elsevier, vol. 154(C), pages 1-1.
  74. repec:dau:papers:123456789/5455 is not listed on IDEAS
  75. Zachary Feinstein & Birgit Rudloff, 2017. "A recursive algorithm for multivariate risk measures and a set-valued Bellman’s principle," Journal of Global Optimization, Springer, vol. 68(1), pages 47-69, May.
  76. Christoph Czichowsky & Johannes Muhle-Karbe & Walter Schachermayer, 2012. "Transaction Costs, Shadow Prices, and Duality in Discrete Time," Papers 1205.4643, arXiv.org, revised Jan 2014.
  77. Tomasz Zastawniak, 2024. "Fundamental Theorem of Asset Pricing under fixed and proportional costs in multi-asset setting and finite probability space," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 47(1), pages 137-149, June.
  78. 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.
  79. Paolo Guasoni & Miklós Rásonyi & Walter Schachermayer, 2010. "The fundamental theorem of asset pricing for continuous processes under small transaction costs," Annals of Finance, Springer, vol. 6(2), pages 157-191, March.
  80. Zachary Feinstein, 2017. "Obligations with Physical Delivery in a Multi-Layered Financial Network," Papers 1702.07936, arXiv.org, revised May 2019.
  81. Adrien Nguyen Huu, 2011. "A note on super-hedging for investor-producers," Papers 1112.4740, arXiv.org, revised Mar 2012.
  82. Lepinette, Emmanuel & Tran, Tuan, 2017. "Arbitrage theory for non convex financial market models," Stochastic Processes and their Applications, Elsevier, vol. 127(10), pages 3331-3353.
  83. Gianluca Cassese, 2017. "Asset pricing in an imperfect world," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 64(3), pages 539-570, October.
  84. Robert Bassett & Khoa Le, 2016. "Multistage Portfolio Optimization: A Duality Result in Conic Market Models," Papers 1601.00712, arXiv.org, revised Jan 2016.
  85. Maria Arduca & Cosimo Munari, 2021. "Risk measures beyond frictionless markets," Papers 2111.08294, arXiv.org.
  86. Patrick Cheridito & Michael Kupper & Ludovic Tangpi, 2016. "Duality formulas for robust pricing and hedging in discrete time," Papers 1602.06177, arXiv.org, revised Sep 2017.
  87. Bruno Bouchard & Marcel Nutz, 2016. "Consistent price systems under model uncertainty," Finance and Stochastics, Springer, vol. 20(1), pages 83-98, January.
  88. Erhan Bayraktar & Xiang Yu, 2015. "Optimal Investment with Random Endowments and Transaction Costs: Duality Theory and Shadow Prices," Papers 1504.00310, arXiv.org, revised Aug 2018.
  89. Yiqing Lin & Junjian Yang, 2016. "Utility maximization problem with random endowment and transaction costs: when wealth may become negative," Papers 1604.08224, arXiv.org, revised Sep 2016.
  90. Tomasz R. Bielecki & Igor Cialenco & Rodrigo Rodriguez, 2012. "No-Arbitrage Pricing for Dividend-Paying Securities in Discrete-Time Markets with Transaction Costs," Papers 1205.6254, arXiv.org, revised Jun 2013.
  91. Teemu Pennanen, 2011. "Arbitrage and deflators in illiquid markets," Finance and Stochastics, Springer, vol. 15(1), pages 57-83, January.
  92. Cosimo Munari, 2021. "Multi-utility representations of incomplete preferences induced by set-valued risk measures," Finance and Stochastics, Springer, vol. 25(1), pages 77-99, January.
  93. E. Babaei & I.V. Evstigneev & K.R. Schenk-Hoppé & M.V. Zhitlukhin, 2018. "Von Neumann-Gale Dynamics, Market Frictions, and Capital Growth," Economics Discussion Paper Series 1816, Economics, The University of Manchester.
  94. Emmanuel Lépinette & Ilya Molchanov, 2021. "Risk arbitrage and hedging to acceptability under transaction costs," Finance and Stochastics, Springer, vol. 25(1), pages 101-132, January.
  95. 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.
  96. E. Babaei & I.V. Evstigneev & K.R. Schenk-Hoppé & M.V. Zhitlukhin, 2018. "Von Neumann-Gale Dynamics and Capital Growth in Financial Markets with Frictions," Economics Discussion Paper Series 1815, Economics, The University of Manchester.
  97. Ariel Neufeld & Julian Sester & Daiying Yin, 2022. "Detecting data-driven robust statistical arbitrage strategies with deep neural networks," Papers 2203.03179, arXiv.org, revised Feb 2024.
  98. Christoph Kühn & Alexander Molitor, 2022. "Semimartingale price systems in models with transaction costs beyond efficient friction," Finance and Stochastics, Springer, vol. 26(4), pages 927-982, October.
  99. Alet Roux & Zhikang Xu, 2019. "Optimal investment and contingent claim valuation with exponential disutility under proportional transaction costs," Papers 1909.06260, arXiv.org, revised May 2021.
  100. Bruno Bouchard & Marcel Nutz, 2016. "Consistent price systems under model uncertainty," Finance and Stochastics, Springer, vol. 20(1), pages 83-98, January.
  101. Astic, Fabian & Touzi, Nizar, 2007. "No arbitrage conditions and liquidity," Journal of Mathematical Economics, Elsevier, vol. 43(6), pages 692-708, August.
  102. repec:hal:wpaper:halshs-00664074 is not listed on IDEAS
  103. Zachary Feinstein & Birgit Rudloff, 2012. "Time consistency of dynamic risk measures in markets with transaction costs," Papers 1201.1483, arXiv.org, revised Dec 2012.
  104. Bruno Bouchard, 2006. "No-arbitrage in Discrete-time Markets with Proportional Transaction Costs and General Information structure," Finance and Stochastics, Springer, vol. 10(2), pages 276-297, April.
  105. Matteo Burzoni, 2015. "Arbitrage and Hedging in model-independent markets with frictions," Papers 1512.01488, arXiv.org, revised Aug 2016.
  106. Teemu Pennanen, 2011. "Convex Duality in Stochastic Optimization and Mathematical Finance," Mathematics of Operations Research, INFORMS, vol. 36(2), pages 340-362, May.
  107. Zachary Feinstein & Birgit Rudloff, 2015. "A recursive algorithm for multivariate risk measures and a set-valued Bellman's principle," Papers 1508.02367, arXiv.org, revised Jul 2016.
  108. Zachary Feinstein & Birgit Rudloff, 2015. "Multi-portfolio time consistency for set-valued convex and coherent risk measures," Finance and Stochastics, Springer, vol. 19(1), pages 67-107, January.
  109. Jan Kallsen & Johannes Muhle-Karbe, 2009. "Existence of Shadow Prices in Finite Probability Spaces," Papers 0911.4801, arXiv.org, revised Nov 2010.
  110. Dmitry B. Rokhlin, 2006. "Martingale selection problem and asset pricing in finite discrete time," Papers math/0602594, arXiv.org, revised Feb 2006.
  111. Christoph Kühn & Alexander Molitor, 2019. "Prospective strict no-arbitrage and the fundamental theorem of asset pricing under transaction costs," Finance and Stochastics, Springer, vol. 23(4), pages 1049-1077, October.
  112. Andreas Lohne & Birgit Rudloff, 2011. "An algorithm for calculating the set of superhedging portfolios in markets with transaction costs," Papers 1107.5720, arXiv.org, revised Dec 2013.
  113. Martin Brown & Tomasz Zastawniak, 2020. "Fundamental Theorem of Asset Pricing under fixed and proportional transaction costs," Annals of Finance, Springer, vol. 16(3), pages 423-433, September.
  114. Giuseppe Benedetti & Luciano Campi & Jan Kallsen & Johannes Muhle-Karbe, 2011. "On the existence of shadow prices," Working Papers hal-00645980, HAL.
  115. Matteo Burzoni & Mario Sikic, 2018. "Robust martingale selection problem and its connections to the no-arbitrage theory," Papers 1801.03574, arXiv.org, revised Nov 2018.
  116. Bruno Bouchard & Adrien Nguyen Huu, 2013. "No marginal arbitrage of the second kind for high production regimes in discrete time production-investment models with proportional transaction costs," Post-Print hal-00487030, HAL.
  117. Christoph Kuhn & Alexander Molitor, 2018. "Prospective strict no-arbitrage and the fundamental theorem of asset pricing under transaction costs," Papers 1811.11621, arXiv.org, revised Apr 2019.
  118. Bruno Bouchard & Marcel Nutz, 2014. "Consistent Price Systems under Model Uncertainty," Papers 1408.5510, arXiv.org.
  119. Paolo Guasoni & Emmanuel Lépinette & Miklós Rásonyi, 2012. "The fundamental theorem of asset pricing under transaction costs," Finance and Stochastics, Springer, vol. 16(4), pages 741-777, October.
  120. repec:dau:papers:123456789/2318 is not listed on IDEAS
  121. Yan Dolinsky & H. Mete Soner, 2015. "Convex duality with transaction costs," Papers 1502.01735, arXiv.org, revised Oct 2015.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.