Necessary and sufficient conditions for weak no-arbitrage in securities markets with frictions

DOI10.1007/s10479-004-5037-7zbMath1119.91044OpenAlexW2041966079MaRDI QIDQ1772980

Xiaothie Deng, Hailiang Yang, Zhong-Fei Li, Shou-Yang Wang

Publication date: 22 April 2005

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-004-5037-7

zbMATH Keywords

nonlinear programmingtransaction costsweak no-arbitragebid-ask spread - taxes

Mathematics Subject Classification ID

Cites Work

• The Pricing of Options and Corporate Liabilities
• A simple approach to arbitrage pricing theory
• Arbitrage theory. Introductory lectures on arbitrage-based financial asset pricing
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• The fundamental theorem of asset pricing with cone constraints
• Local martingales and the fundamental asset pricing theorems in the discrete-time case
• Martingales and arbitage in securities markets with transaction costs
• COMPUTATIONAL COMPLEXITY OF ARBITRAGE IN FRICTIONAL SECURITY MARKET
• ARBITRAGE IN SECURITIES MARKETS WITH SHORT-SALES CONSTRAINTS
• Dynamic Arbitrage-Free Asset Pricing with Proportional Transaction Costs
• Existence of an Equilibrium for a Competitive Economy
• The Harrison-Pliska arbitrage pricing theorem under transaction costs
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