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Making no-arbitrage discounting-invariant : a new FTAP beyond NFLVR and NUPBR

Bálint, Dániel Ágoston; Schweizer, Martin - 2018 - This version: March 16, 2018

In general multi-asset models of financial markets, the classic no-arbitrage concepts NFLVR and NUPBR have the serious … and allows us to generalise both NFLVR (by dynamic share efficiency) and NUPBR (by dynamic share viability). These new …

Persistent link: https://www.econbiz.de/10011899592

Negative call prices

Ruf, Johannes - In: Annals of finance 9 (2013) 4, pp. 787-794

Persistent link: https://www.econbiz.de/10010196568

Negative call prices

Ruf, Johannes - In: Annals of Finance 9 (2013) 4, pp. 787-794

-arbitrage arguments implicitly rely on conditions stronger than the No Free Lunch With Vanishing Risk (NFLVR) assumption. The discrepancy … between replicating prices and market prices for a contingent claim may be observed in a model satisfying NFLVR since certain …

Persistent link: https://www.econbiz.de/10010866527

On local times : application to pricing using bid-ask

Kettler, Paul C.; Menoukeu-Pamen, Olivier; Proske, Frank - In: Journal of mathematical finance 4 (2014) 2, pp. 84-94

Persistent link: https://www.econbiz.de/10010380910

Arbitrage theory in models with transaction costs beyond efficient friction

Molitor, Alexander - 2022

Persistent link: https://www.econbiz.de/10013187807

On the semimartingale property via bounded logarithmic utility

Larsen, Kasper; Žitković, Gordan - In: Annals of Finance 4 (2008) 2, pp. 255-268

Persistent link: https://www.econbiz.de/10005542200