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No-arbitrage criteria for financial markets with efficient friction
Kabanov, Yuri; Rásonyi, Miklos; Stricker, Christophe - In: Finance and stochastics 6 (2002) 3, pp. 371-382
Persistent link: https://www.econbiz.de/10008216348
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No-arbitrage criteria for financial markets with transaction costs and incomplete information
De Vallière, Dimitri; Kabanov, Yuri; Stricker, Christophe - In: Finance and stochastics 11 (2007) 2, pp. 237-252
Persistent link: https://www.econbiz.de/10008222019
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On the law of one price
Courtault, Jean-Michel; Delbaen, Freddy; Kabanov, Yuri; … - In: Finance and stochastics 8 (2004) 4, pp. 525-530
Persistent link: https://www.econbiz.de/10008223282
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On the law of one price
Courtault, Jean-Michel; Delbaen, Freddy; Kabanov, Yuri; … - In: Finance and Stochastics 8 (2004) 4, pp. 525-530
We consider the standard discrete-time model of a frictionless financial market and show that the law of one price holds if and only if there exists a martingale density process with strictly positive initial value. In contrast to the classical no-arbitrage criteria, this density process may...
Persistent link: https://www.econbiz.de/10005390695
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No-arbitrage criteria for financial markets with transaction costs and incomplete information
Vallière, Dimitri De; Kabanov, Yuri; Stricker, Christophe - In: Finance and Stochastics 11 (2007) 2, pp. 237-251
Persistent link: https://www.econbiz.de/10005390739
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Hedging and liquidation under transaction costs in currency markets
Kabanov, Yuri M. - In: Finance and stochastics 3 (1999) 2, pp. 237-248
Persistent link: https://www.econbiz.de/10001367370
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A note on arbitrage in term structure
Rásonyi, Miklós - In: Decisions in economics and finance : DEF ; a journal of … 31 (2008) 1, pp. 73-79
Persistent link: https://www.econbiz.de/10003771593
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Arbitrage under transaction costs revisited
Rásonyi, Miklós - In: Optimality and risk - modern trends in mathematical …, (pp. 211-225). 2009
Persistent link: https://www.econbiz.de/10003948896
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Arbitrage pricing theory and risk-neutral measures
Rásonyi, Miklós - In: Decisions in economics and finance : DEF ; a journal of … 27 (2004) 2, pp. 109-123
Persistent link: https://www.econbiz.de/10003095205
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On optimal strategies for utility maximizers in the arbitrage pricing model
Rásonyi, Miklós - In: International journal of theoretical and applied finance 19 (2016) 7, pp. 1-12
Persistent link: https://www.econbiz.de/10011568831