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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

Long horizons, high risk aversion, and endogenous spreads

Guasoni, Paolo; Muhle-Karbe, Johannes - In: Mathematical finance : an international journal of … 25 (2015) 4, pp. 724-753

Persistent link: https://www.econbiz.de/10011350524

A counterexample to several problems in the theory of asset pricing

Schachermayer, Walter - In: Mathematical finance : an international journal of … 3 (1993) 2, pp. 217-229

Persistent link: https://www.econbiz.de/10001333343

The fundamental theorem of asset pricing under proportional transaction costs in finite discrete time

Schachermayer, Walter - In: Mathematical finance : an international journal of … 14 (2004) 1, pp. 19-48

Persistent link: https://www.econbiz.de/10001917667

A note on arbitrage and closed convex cones

Schachermayer, Walter - In: Mathematical finance : an international journal of … 15 (2005) 1, pp. 183-189

Persistent link: https://www.econbiz.de/10002583073

Asymmetric information in fads models

Guasoni, Paolo - In: Finance and stochastics 10 (2006) 2, pp. 159-177

Persistent link: https://www.econbiz.de/10003334913

A simple counterexample to several problems in the theory of asset pricing

Delbaen, Freddy - In: Mathematical finance : an international journal of … 8 (1998) 1, pp. 1-11

Persistent link: https://www.econbiz.de/10001240801

A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time

Schachermayer, Walter - In: Insurance / Mathematics & economics 11 (1992) 4, pp. 249-257

Persistent link: https://www.econbiz.de/10001138775

A model-free version of the fundamental theorem of asset pricing and the super-replication theorem

Acciaio, B.; Beiglböck, M.; Penkner, Friedrich; … - In: Mathematical finance : an international journal of … 26 (2016) 2, pp. 233-251

Persistent link: https://www.econbiz.de/10011577133

Asymptotic synthesis of contingent claims with controlled risk in a sequence of discrete-time markets

Kreps, David M.; Schachermayer, Walter - In: Theoretical economics : TE ; an open access journal in … 16 (2021) 1, pp. 25-47

We examine the connection between discrete-time models of financial markets and the celebrated Black--Scholes--Merton (BSM) continuous-time model in which ''markets are complete." Suppose that (a) the probability law of a sequence of discrete-time models converges to the law of the BSM model and...

Persistent link: https://www.econbiz.de/10012415568