Price functionals with bid-ask spreads: An axiomatic approach
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Publication:1592527
DOI10.1016/S0304-4068(99)00023-3zbMath0972.91050MaRDI QIDQ1592527
Publication date: 25 January 2001
Published in: Journal of Mathematical Economics (Search for Journal in Brave)
Related Items (24)
Submodular financial markets with frictions ⋮ Optimal liquidation in a finite time regime switching model with permanent and temporary pricing impact ⋮ Link-save trading ⋮ American contingent claims under small proportional transaction costs ⋮ Acceptability indexes via \(g\)-expectations: an application to liquidity risk ⋮ Game options with gradual exercise and cancellation under proportional transaction costs ⋮ A REPRESENTATION OF KEYNES’S LONG-TERM EXPECTATION IN FINANCIAL MARKETS ⋮ Financial market structures revealed by pricing rules: efficient complete markets are prevalent ⋮ Dynamic bid-ask pricing under Dempster-Shafer uncertainty ⋮ Game Options in an Imperfect Market with Default ⋮ Pricing rules and Arrow-Debreu ambiguous valuation ⋮ Conditional dominance criteria: Definition and application to risk-management ⋮ Asset pricing and hedging in financial markets with transaction costs: an approach based on the von Neumann-Gale model ⋮ Options under proportional transaction costs: An algorithmic approach to pricing and hedging ⋮ Utility maximization in markets with bid–ask spreads ⋮ Effective securities in arbitrage-free markets with bid-ask spreads at liquidation: a linear programming characterization ⋮ Viscosity characterization of the value function of an investment-consumption problem in presence of an illiquid asset ⋮ MULTIDIMENSIONAL DYNAMIC RISK MEASURE VIA CONDITIONAL g‐EXPECTATION ⋮ Pricing issues with investment flows. Applications to market models with frictions ⋮ AN ANALYSIS OF THE SUPPLY CURVE FOR LIQUIDITY RISK THROUGH BOOK DATA ⋮ Law-invariant functionals that collapse to the mean ⋮ Sublinear price functionals under portfolio constraints ⋮ Updating pricing rules ⋮ Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk
Cites Work
- Martingales and arbitrage in multiperiod securities markets
- Martingales and stochastic integrals in the theory of continuous trading
- On the possibility of hedging options in the presence of transaction costs
- Sublinear price functionals under portfolio constraints
- Limit theorem on option replication cost with transaction costs
- Martingales and arbitage in securities markets with transaction costs
- There is no nontrivial hedging portfolio for option pricing with transaction costs
- Viability and Equilibrium in Securities Markets with Frictions
- ARBITRAGE IN SECURITIES MARKETS WITH SHORT-SALES CONSTRAINTS
- HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12
- DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS1
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