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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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Implicit transaction costs and the fundamental theorems of asset pricing
Allaj, Erindi - In: International journal of theoretical and applied finance 20 (2017) 4, pp. 1-39
Persistent link: https://www.econbiz.de/10011686967
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Do limits to arbitrage explain the benefits of volatility-managed portfolios?
Barroso, Pedro; Detzel, Andrew - In: Journal of financial economics 140 (2021) 3, pp. 744-767
Persistent link: https://www.econbiz.de/10013259593
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Arbitrage theory in models with transaction costs beyond efficient friction
Molitor, Alexander - 2022
Persistent link: https://www.econbiz.de/10013187807
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Mispricing and Costly Arbitrage
Sadka, Ronnie - 2010
significantly reduce the potential arbitrage profits. Positive shocks to market-wide liquidity reduce arbitrage costs and accelerate …
Persistent link: https://www.econbiz.de/10013147019
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Prospective strict no-arbitrage and the fundamental theorem of asset pricing under transaction costs
Kühn, Christoph; Molitor, Alexander - In: Finance and stochastics 23 (2019) 4, pp. 1049-1077
Persistent link: https://www.econbiz.de/10012114690
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The fundamental theorem of asset princing with either frictionless or frictional security markets
Huang, Helen H.; Zhang, Shunming - In: Journal of mathematical finance 4 (2014) 2, pp. 123-134
Persistent link: https://www.econbiz.de/10010380905
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The fundamental theorem of asset pricing for continuous processes under small transaction costs
Guasoni, Paolo; Rásonyi, Miklós; Schachermayer, Walter - In: Annals of finance 6 (2010) 2, pp. 157-191
Persistent link: https://www.econbiz.de/10003941214
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Fundamental theorem of asset pricing with acceptable risk in markets with frictions
Arduca, Maria; Munari, Cosimo-Andrea - In: Finance and stochastics 27 (2023) 3, pp. 831-862
Persistent link: https://www.econbiz.de/10014328991
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No-arbitrage principle in conic finance
Vazifedan, Mehdi; Zhu, Qiji Jim - In: Risks : open access journal 8 (2020) 2/66, pp. 1-34
In a one price economy, the Fundamental Theorem of Asset Pricing (FTAP) establishes that no-arbitrage is equivalent to … the hyperplane that separates the attainable gain subspace and the convex cone representing arbitrage opportunities … anymore. We use convex optimization, and the conic property of this region to characterize the "no-arbitrage" principle in …
Persistent link: https://www.econbiz.de/10012293018