On low dimensional case in the fundamental asset pricing theorem with transaction costs

DOI10.1524/STND.2005.23.1.33zbMath1138.91397OpenAlexW2328455113MaRDI QIDQ5696312

Pavel G. Grigoriev

Publication date: 18 October 2005

Published in: Statistics & Risk Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1524/stnd.2005.23.1.33

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Microeconomic theory (price theory and economic markets) (91B24) Applications of stochastic analysis (to PDEs, etc.) (60H30) Random convex sets and integral geometry (aspects of convex geometry) (52A22)

Related Items (11)

Fundamental Theorem of Asset Pricing Under Transaction Costs and Model Uncertainty ⋮ Arbitrage in markets with bid-ask spreads. The fundamental theorem of asset pricing in finite discrete time markets with bid-ask spreads and a money account ⋮ A Complement to the Grigoriev Theorem for the Kabanov Model ⋮ Unnamed Item ⋮ No-arbitrage criteria for financial markets with transaction costs and incomplete information ⋮ Consistent price systems and arbitrage opportunities of~the~second kind in models with transaction costs ⋮ No arbitrage and closure results for trading cones with transaction costs ⋮ Prospective strict no-arbitrage and the fundamental theorem of asset pricing under transaction costs ⋮ Risk arbitrage and hedging to acceptability under transaction costs ⋮ Fundamental theorem of asset pricing under fixed and proportional transaction costs ⋮ How local in time is the no-arbitrage property under capital gains taxes?

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