A Complement to the Grigoriev Theorem for the Kabanov Model

DOI10.1137/S0040585X97T989969zbMath1453.91092OpenAlexW2903534378MaRDI QIDQ5120714

Jun Zhao, Emmanuel Lépinette

Publication date: 16 September 2020

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0040585x97t989969

zbMATH Keywords

absence of arbitrage opportunitiesliquidation valuebid and ask prices

Mathematics Subject Classification ID

Financial markets (91G15)

Related Items (1)

Prospective strict no-arbitrage and the fundamental theorem of asset pricing under transaction costs

Cites Work

• Unnamed Item
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• General financial market model defined by a liquidation value process
• Equivalent martingale measures and no-arbitrage in stochastic securities market models
• The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
• General Arbitrage Pricing Model: II – Transaction Costs
• On low dimensional case in the fundamental asset pricing theorem with transaction costs

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