Consistent price systems in multiasset markets

DOI10.1155/2012/687376zbMath1282.91112OpenAlexW1979269981WikidataQ58689573 ScholiaQ58689573MaRDI QIDQ448327

Hasanjan Sayit, Florian Maris

Publication date: 6 September 2012

Published in: International Journal of Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2012/687376

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Financial applications of other theories (91G80)

Related Items (3)

Diversity and No Arbitrage ⋮ Absence of arbitrage in a general framework ⋮ Hedging, arbitrage and optimality with superlinear frictions

Cites Work

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• Pricing by hedging and no-arbitrage beyond semimartingales
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• Conditional Full Support of Gaussian Processes with Stationary Increments
• On the stickiness property
• The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
• On the Existence Of Consistent Price Systems
• General Arbitrage Pricing Model: II – Transaction Costs
• NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND

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