No-arbitrage pricing for dividend-paying securities in discrete-time markets with transaction costs
Year of publication: |
2015
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Authors: | Bielecki, Tomasz R. ; Cialenco, Igor ; Rodriguez, Rodrigo |
Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 25.2015, 4, p. 673-701
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Subject: | arbitrage | fundamental theorem of asset pricing | transaction costs | consistent pricing system | liquidity | dividends | credit default swaps | interest rate swaps | Theorie | Theory | Transaktionskosten | Transaction costs | Swap | CAPM | Kreditderivat | Credit derivative | Arbitrage Pricing | Arbitrage pricing | Arbitrage | Portfolio-Management | Portfolio selection |
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