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No-arbitrage pricing for dividend-paying securities in discrete-time markets with transaction costs
Bielecki, Tomasz R.; Cialenco, Igor; Rodriguez, Rodrigo - In: Mathematical finance : an international journal of … 25 (2015) 4, pp. 673-701
Persistent link: https://www.econbiz.de/10011350542
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Arbitrage bounds for prices of weighted variance swaps
Davis, Mark H. A.; Obłój, Jan; Raval, Vimal - In: Mathematical finance : an international journal of … 24 (2014) 4, pp. 821-854
Persistent link: https://www.econbiz.de/10011308161
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On a class of diverse market models
Sarantsev, Andrey - In: Annals of finance 10 (2014) 2, pp. 291-314
Persistent link: https://www.econbiz.de/10010350852
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Fundamental theorem of asset pricing under fixed and proportional transaction costs
Brown, Martin; Zastawniak, Tomasz - In: Annals of finance 16 (2020) 3, pp. 423-433
Persistent link: https://www.econbiz.de/10012496392
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The no-arbitrage pricing of non-traded assets
Jarrow, Robert A. - In: Annals of finance 19 (2023) 3, pp. 401-418
Persistent link: https://www.econbiz.de/10014380572
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Multivariate stable futures prices
Cheng, B. N. - In: Mathematical finance : an international journal of … 5 (1995) 2, pp. 133-153
Persistent link: https://www.econbiz.de/10001185054
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Positive alphas, abnormal performance, and illusory arbitrage
Jarrow, Robert A.; Protter, Philip E. - In: Mathematical finance : an international journal of … 23 (2013) 1, pp. 39-56
Persistent link: https://www.econbiz.de/10009712563
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No marginal arbitrage of the second kind for high production regimes in discrete time production-investment models with proportional transaction costs
Bouchard, Bruno; Huu, Adrien Nguyen - In: Mathematical finance : an international journal of … 23 (2013) 2, pp. 366-386
Persistent link: https://www.econbiz.de/10009722532
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Generalized volatility-stabilized processes
Picková, Radka - In: Annals of finance 10 (2014) 1, pp. 101-125
Persistent link: https://www.econbiz.de/10010244577
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Optimization of relative arbitrage
Wong, Ting-Kam Leonard - In: Annals of finance 11 (2015) 3/4, pp. 345-382
Persistent link: https://www.econbiz.de/10011459074