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
type: Item
instance of: scholarly article
title: 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
zbMATH Open document ID: 1369.91203
author: Przemysław Rola
published in: Annals of Finance
publication date: 2016-01-07T00:00:00Z
Mathematics Subject Classification ID: 91G99
Mathematics Subject Classification ID: 91B24
Mathematics Subject Classification ID: 60G42
zbMATH DE Number: 6527177
zbMATH Keywords: arbitrage
zbMATH Keywords: bid-ask spreads
zbMATH Keywords: consistent price system
zbMATH Keywords: bid-ask martingale measure
MaRDI profile type: Publication
full work available at URL: s10436-015-0266-0
OpenAlex ID: W2005582944
Wikidata QID: Q59407392
cites work: Arbitrage Theory in Continuous Time
cites work: General Arbitrage Pricing Model: II – Transaction Costs
cites work: Option pricing: A simplified approach
cites work: The mathematics of arbitrage
cites work: Robust hedging with proportional transaction costs
cites work: On low dimensional case in the fundamental asset pricing theorem with transaction costs
cites work: Martingales and arbitage in securities markets with transaction costs
cites work: Non-arbitrage criteria for financial markets with efficient friction
cites work: Markets with transaction costs. Mathematical theory.
cites work: Q2725602
cites work: The Harrison-Pliska arbitrage pricing theorem under transaction costs
cites work: Arbitrage in markets without shortselling with proportional transaction costs
cites work: Arbitrage for simple strategies
cites work: The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
DOI: 10.1007/S10436-015-0266-0
description: scientific article; zbMATH DE number 6527177