Pricing issues with investment flows. Applications to market models with frictions

Related Items

The Dalang-Morton-Willinger theorem under cone constraints., Asset pricing and hedging in financial markets with transaction costs: an approach based on the von Neumann-Gale model, SUPERHEDGING IN ILLIQUID MARKETS, Convex duality in optimal investment and contingent claim valuation in illiquid markets

Cites Work

Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Calcul stochastique et problèmes de martingales
Arbitrage et lois de martingale. (Arbitrage and martingale laws)
Multiperiod security markets with differential information
Martingales and arbitrage in multiperiod securities markets
Arbitrage and equilibrium in economies with infinitely many commodities
Martingales and stochastic integrals in the theory of continuous trading
The fundamental theorem of asset pricing for unbounded stochastic processes
Hedging and liquidation under transaction costs in currency markets
Hedging contingent claims with constrained portfolios
A general version of the fundamental theorem of asset pricing
Optional decompositions under constraints
Sublinear price functionals under portfolio constraints
Price functionals with bid-ask spreads: An axiomatic approach
Martingales and arbitage in securities markets with transaction costs
On the fundamental theorem of asset pricing with an infinite state space
Viability and Equilibrium in Securities Markets with Frictions
TAX BASIS AND NONLINEARITY IN CASH STREAM VALUATION
ARBITRAGE IN SECURITIES MARKETS WITH SHORT-SALES CONSTRAINTS
Equivalent martingale measures and no-arbitrage in stochastic securities market models
HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH¹²
Cash Stream Valuation In the Face of Transaction Costs and Taxes
DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS¹
REPRESENTING MARTINGALE MEASURES WHEN ASSET PRICES ARE CONTINUOUS AND BOUNDED
Martingale Measures For A Class of Right‐Continuous Processes
MARTINGALE MEASURES FOR DISCRETE‐TIME PROCESSES WITH INFINITE HORIZON
Arbitrage and Growth Rate for Riskless Investments in a Stationary Economy
Hedging under Transaction Costs in Currency Markets: a Discrete-Time Model
Investment Selection with Imperfect Capital Markets
Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
Investment and Arbitrage Opportunities with Short Sales Constraints
Optimal Investment Selection with a Multitude of Projects
State Constraints in Convex Control Problems of Bolza
Arbitrage and viability in securities markets with fixed trading costs
Arbitrage and investment opportunities