IDEAS home Printed from https://ideas.repec.org/r/eee/mateco/v35y2001i2p185-196.html
   My bibliography  Save this item

The Harrison-Pliska arbitrage pricing theorem under transaction costs

Citations

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


Cited by:

  1. Alet Roux & Tomasz Zastawniak, 2013. "American options with gradual exercise under proportional transaction costs," Papers 1308.2688, arXiv.org.
  2. Bruno Bouchard, 2005. "No-arbitrage in discrete-time markets with proportional transaction costs and general information structure," Papers math/0501045, arXiv.org.
  3. 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.
  4. Katsiaryna Kaval & Ilya Molchanov, 2005. "Link-save trading and pricing of contingent claims," Finance 0511017, University Library of Munich, Germany.
  5. Gianluca Cassese, 2014. "Option Pricing in an Imperfect World," Papers 1406.0412, arXiv.org, revised Sep 2016.
  6. 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.
  7. Micha{l} Barski, 2016. "Quantile hedging on markets with proportional transaction costs," Papers 1601.03380, arXiv.org.
  8. Stefan Gerhold & I. Cetin Gulum, 2016. "Consistency of option prices under bid-ask spreads," Papers 1608.05585, arXiv.org, revised Jul 2019.
  9. repec:dau:papers:123456789/5374 is not listed on IDEAS
  10. Martin Brown & Tomasz Zastawniak, 2019. "Fundamental Theorem of Asset Pricing under fixed and proportional transaction costs," Papers 1905.01859, arXiv.org, revised May 2019.
  11. Dilip B. Madan, 2016. "Benchmarking in two price financial markets," Annals of Finance, Springer, vol. 12(2), pages 201-219, May.
  12. Teemu Pennanen & Irina Penner, 2008. "Hedging of claims with physical delivery under convex transaction costs," Papers 0810.2016, arXiv.org.
  13. Jouini, Elyes, 2001. "Arbitrage and control problems in finance: A presentation," Journal of Mathematical Economics, Elsevier, vol. 35(2), pages 167-183, April.
  14. Beutner Eric, 2006. "Pure self-financing trading strategies under transaction costs," Statistics & Risk Modeling, De Gruyter, vol. 24(4), pages 435-443, October.
  15. 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.
  16. Mark Broadie & Jerome B. Detemple, 2004. "ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications," Management Science, INFORMS, vol. 50(9), pages 1145-1177, September.
  17. Bruno Bouchard & Emmanuel Temam, 2005. "On the Hedging of American Options in Discrete Time Markets with Proportional Transaction Costs," Papers math/0502189, arXiv.org.
  18. Yuan Hu & Abootaleb Shirvani & W. Brent Lindquist & Frank J. Fabozzi & Svetlozar T. Rachev, 2021. "Market Complete Option Valuation using a Jarrow-Rudd Pricing Tree with Skewness and Kurtosis," Papers 2106.09128, arXiv.org.
  19. Alet Roux & Tomasz Zastawniak, 2016. "Game options with gradual exercise and cancellation under proportional transaction costs," Papers 1612.02312, arXiv.org.
  20. Alet Roux, 2007. "The fundamental theorem of asset pricing under proportional transaction costs," Papers 0710.2758, arXiv.org.
  21. Przemys{l}aw Rola, 2014. "Arbitrage in markets with bid-ask spreads," Papers 1407.3372, arXiv.org.
  22. 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.
  23. Dmitry B. Rokhlin, 2006. "Constructive no-arbitrage criterion under transaction costs in the case of finite discrete time," Papers math/0603284, arXiv.org.
  24. Wael Bahsoun & Igor V. Evstigneev & Michael I. Taksar, 2009. "Growth-optimal investments and numeraire portfolios under transaction costs: An analysis based on the von Neumann-Gale model," Papers 0909.4730, arXiv.org.
  25. 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.
  26. 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.
  27. 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.
  28. repec:dau:papers:123456789/5590 is not listed on IDEAS
  29. Astic, Fabian & Touzi, Nizar, 2007. "No arbitrage conditions and liquidity," Journal of Mathematical Economics, Elsevier, vol. 43(6), pages 692-708, August.
  30. Matteo Burzoni, 2015. "Arbitrage and Hedging in model-independent markets with frictions," Papers 1512.01488, arXiv.org, revised Aug 2016.
  31. 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.
  32. Bruno Bouchard & Marcel Nutz, 2014. "Consistent Price Systems under Model Uncertainty," Papers 1408.5510, arXiv.org.
  33. 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.
  34. Duffie, Darrell, 2003. "Intertemporal asset pricing theory," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 11, pages 639-742, Elsevier.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.