No arbitrage and closure results for trading cones with transaction costs

DOI10.1007/s00780-008-0075-7zbMath1199.91052arXivmath/0602178OpenAlexW2117710956MaRDI QIDQ2271722

Jon Warren, Abdelkarem Berkaoui, S. D. Jacka

Publication date: 8 August 2009

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0602178

zbMATH Keywords

convex conearbitragefundamental theorem of asset pricingproportional transaction costs

Mathematics Subject Classification ID

Related Items (5)

NO-ARBITRAGE PRICING FOR DIVIDEND-PAYING SECURITIES IN DISCRETE-TIME MARKETS WITH TRANSACTION COSTS ⋮ On representations of the set of supermartingale measures and applications in discrete time ⋮ Von Neumann–Gale model, market frictions and capital growth ⋮ On the density of properly maximal claims in financial markets with transaction costs ⋮ Prospective strict no-arbitrage and the fundamental theorem of asset pricing under transaction costs

Cites Work

• Arbitrage et lois de martingale. (Arbitrage and martingale laws)
• A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time
• Non-arbitrage criteria for financial markets with efficient friction
• On the closedness of sums of convex cones in \(L^0\) and the robust no-arbitrage property
• Multi-applications mesurables à valeurs convexes compactes
• ARBITRAGE IN SECURITIES MARKETS WITH SHORT-SALES CONSTRAINTS
• Measurable relations
• The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
• Hedging under Transaction Costs in Currency Markets: a Discrete-Time Model
• On low dimensional case in the fundamental asset pricing theorem with transaction costs

This page was built for publication: No arbitrage and closure results for trading cones with transaction costs