Pages that link to "Item:Q1897315"

The following pages link to Martingales and arbitage in securities markets with transaction costs (Q1897315):

Displaying 50 items.

• Semimartingale price systems in models with transaction costs beyond efficient friction (Q2675819) (← links)
• EUROPEAN OPTION PRICING WITH GENERAL TRANSACTION COSTS AND SHORT-SELLING CONSTRAINTS (Q2746235) (← links)
• Robust no arbitrage of the second kind with a continuum of assets and proportional transaction costs (Q2797754) (← links)
• General financial market model defined by a liquidation value process (Q2804555) (← links)
• A Comparison of Techniques for Dynamic Multivariate Risk Measures (Q2805752) (← links)
• Portfolio Choice with Transaction Costs: A User’s Guide (Q2847837) (← links)
• Reduced form modeling of limit order markets (Q2873532) (← links)
• Sticky Continuous Processes have Consistent Price Systems (Q2949856) (← links)
• Utility maximization problem with random endowment and transaction costs: when wealth may become negative (Q2974041) (← links)
• A MODEL OF OPTIMAL CONSUMPTION UNDER LIQUIDITY RISK WITH RANDOM TRADING TIMES (Q3005846) (← links)
• SUPERHEDGING IN ILLIQUID MARKETS (Q3008489) (← links)
• Utility maximization in markets with bid–ask spreads (Q3017887) (← links)
• MARKETS AS A COUNTERPARTY: AN INTRODUCTION TO CONIC FINANCE (Q3067159) (← links)
• ARBITRAGE IN SECURITIES MARKETS WITH SHORT-SALES CONSTRAINTS (Q3126234) (← links)
• Asymptotics and duality for the Davis and Norman problem (Q3145080) (← links)
• NO-ARBITRAGE PRICING FOR DIVIDEND-PAYING SECURITIES IN DISCRETE-TIME MARKETS WITH TRANSACTION COSTS (Q3195490) (← links)
• OPTION PRICING AND HEDGING WITH SMALL TRANSACTION COSTS (Q3195491) (← links)
• HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH¹² (Q4226860) (← links)
• CHOQUET PRICING FOR FINANCIAL MARKETS WITH FRICTIONS (Q4226867) (← links)
• (Q4324326) (← links)
• The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time (Q4464011) (← links)
• Fuzzy measures and asset prices: accounting for information ambiguity (Q4541543) (← links)
• Liquidity and credit risk (Q4541602) (← links)
• Hedging under Transaction Costs in Currency Markets: a Discrete-Time Model (Q4548069) (← links)
• Dynamic Arbitrage-Free Asset Pricing with Proportional Transaction Costs (Q4548072) (← links)
• Admissible Trading Strategies Under Transaction Costs (Q4568490) (← links)
• SHORTFALL RISK MINIMIZATION UNDER FIXED TRANSACTION COSTS (Q4584703) (← links)
• Duality Formulas for Robust Pricing and Hedging in Discrete Time (Q4607049) (← links)
• Option overlay strategies (Q4683071) (← links)
• DYNAMIC CONIC FINANCE: PRICING AND HEDGING IN MARKET MODELS WITH TRANSACTION COSTS VIA DYNAMIC COHERENT ACCEPTABILITY INDICES (Q4916239) (← links)
• Almost Surely Optimal Portfolios Under Proportional Transaction Costs (Q4976506) (← links)
• AN ALGORITHM FOR CALCULATING THE SET OF SUPERHEDGING PORTFOLIOS IN MARKETS WITH TRANSACTION COSTS (Q4979885) (← links)
• (Q5044308) (← links)
• Scalar Multivariate Risk Measures with a Single Eligible Asset (Q5085121) (← links)
• Game options with gradual exercise and cancellation under proportional transaction costs (Q5086463) (← links)
• Von Neumann–Gale model, market frictions and capital growth (Q5086629) (← links)
• Robust martingale selection problem and its connections to the no‐arbitrage theory (Q5109989) (← links)
• A Complement to the Grigoriev Theorem for the Kabanov Model (Q5120714) (← links)
• Equilibria Under Knightian Price Uncertainty (Q5225242) (← links)
• General indifference pricing with small transaction costs (Q5278183) (← links)
• IMPLICIT TRANSACTION COSTS AND THE FUNDAMENTAL THEOREMS OF ASSET PRICING (Q5281718) (← links)
• SHADOW PRICES FOR CONTINUOUS PROCESSES (Q5283399) (← links)
• SET-VALUED SHORTFALL AND DIVERGENCE RISK MEASURES (Q5357511) (← links)
• Good deals in markets with friction (Q5397420) (← links)
• On the Existence Of Consistent Price Systems (Q5416841) (← links)
• Mean‐Reverting Market Model: Speculative Opportunities and Non‐Arbitrage (Q5459529) (← links)
• Exact Superreplication Strategies for a Class of Derivative Assets (Q5489327) (← links)
• OPTIMAL INVESTMENT AND CONTINGENT CLAIM VALUATION WITH EXPONENTIAL DISUTILITY UNDER PROPORTIONAL TRANSACTION COSTS (Q5866972) (← links)
• Arbitrage and control problems in finance. A presentation (Q5939293) (← links)
• The Harrison-Pliska arbitrage pricing theorem under transaction costs (Q5939294) (← links)