Arbitrage theory for non convex financial market models

DOI10.1016/j.spa.2017.01.011zbMath1377.91150OpenAlexW3125017761MaRDI QIDQ2403708

Yanyan Li

Publication date: 11 September 2017

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2139/ssrn.2666440

zbMATH Keywords

transaction costsEuropean optionsarbitrage theoryliquidation value

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Optimal stochastic control (93E20) Martingales with continuous parameter (60G44) Portfolio theory (91G10)

Related Items (5)

IMPLICIT TRANSACTION COSTS AND THE FUNDAMENTAL THEOREMS OF ASSET PRICING ⋮ Dynamic programming principle and computable prices in financial market models with transaction costs ⋮ Super-replication with fixed transaction costs ⋮ Unnamed Item ⋮ Fundamental theorem of asset pricing under fixed and proportional transaction costs

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