Asset pricing and hedging in financial markets with fixed and proportional transaction costs

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Cites Work

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The fundamental theorem of asset pricing in the presence of bid-ask and interest rate spreads
Asset pricing and hedging in financial markets with transaction costs: an approach based on the von Neumann-Gale model
Hedging and liquidation under transaction costs in currency markets
Optional decompositions under constraints
Price functionals with bid-ask spreads: An axiomatic approach
Infinite-horizon competitive programs are optimal
Martingales and arbitage in securities markets with transaction costs
There is no nontrivial hedging portfolio for option pricing with transaction costs
Fundamental theorem of asset pricing under fixed and proportional transaction costs
Von Neumann-Gale dynamics and capital growth in financial markets with frictions
Log-optimal and rapid paths in von Neumann-Gale dynamical systems
Arbitrage theory for non convex financial market models
Competitive prices for a stochastic input-output model with infinite time horizon
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