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

DOI10.1007/s10436-015-0266-0zbMath1369.91203OpenAlexW2005582944WikidataQ59407392 ScholiaQ59407392MaRDI QIDQ902181

Przemysław Rola

Publication date: 7 January 2016

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

Full work available at URL: https://doi.org/10.1007/s10436-015-0266-0

zbMATH Keywords

arbitrageconsistent price systembid-ask spreadsbid-ask martingale measure

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Microeconomic theory (price theory and economic markets) (91B24) Actuarial science and mathematical finance (91G99)

Related Items (6)

Benchmarking in two price financial markets ⋮ Discrete-time market models from the small investor point of view and the first fundamental-type theorem ⋮ A Complement to the Grigoriev Theorem for the Kabanov Model ⋮ Remarks on simple arbitrage on markets with bid and ask prices ⋮ Unnamed Item ⋮ Fundamental theorem of asset pricing under fixed and proportional transaction costs

Cites Work

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• The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
• General Arbitrage Pricing Model: II – Transaction Costs
• Option pricing: A simplified approach
• On low dimensional case in the fundamental asset pricing theorem with transaction costs
• Arbitrage Theory in Continuous Time
• The Harrison-Pliska arbitrage pricing theorem under transaction costs

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