Asset pricing and hedging in financial markets with transaction costs: an approach based on the von Neumann-Gale model

DOI10.1007/s10436-006-0042-2zbMath1233.91117OpenAlexW2070165471MaRDI QIDQ665729

Igor V. Evstigneev, Michael A. H. Dempster, Michael I. Taksar

Publication date: 6 March 2012

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-006-0042-2

zbMATH Keywords

asset pricinghedgingtransaction coststrading constraintsconsistent valuation systemsvon Neumann-Gale model

Mathematics Subject Classification ID

Related Items (18)

Stochastic fixed points and nonlinear Perron–Frobenius theorem ⋮ Pure and randomized equilibria in the stochastic von Neumann-Gale model ⋮ Von Neumann–Gale model, market frictions and capital growth ⋮ Von Neumann-Gale dynamics and capital growth in financial markets with frictions ⋮ Rapid paths in von Neumann–Gale dynamical systems ⋮ Dual representation of superhedging costs in illiquid markets ⋮ Stochastic equilibria in von Neumann--Gale dynamical systems ⋮ Portfolio optimization in discrete time with proportional transaction costs under stochastic volatility ⋮ Convex duality in optimal investment under illiquidity ⋮ Controlled random fields, von Neumann–Gale dynamics and multimarket hedging with risk ⋮ Stochastic nonlinear Perron-Frobenius theorem ⋮ Optimal investment and contingent claim valuation in illiquid markets ⋮ The fundamental theorem of asset pricing in the presence of bid-ask and interest rate spreads ⋮ Introduction to convex optimization in financial markets ⋮ Supporting Prices in a Stochastic von Neumann--Gale Model of a Financial Market ⋮ A multidimensional Fatou lemma for conditional expectations ⋮ Log-optimal and rapid paths in von Neumann-Gale dynamical systems ⋮ OPTIMAL INVESTMENT AND CONTINGENT CLAIM VALUATION WITH EXPONENTIAL DISUTILITY UNDER PROPORTIONAL TRANSACTION COSTS

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