Search Results - subject:"weak arbitrage"

The fundamental theorem of asset princing with either frictionless or frictional security markets

Huang, Helen H.; Zhang, Shunming - In: Journal of mathematical finance 4 (2014) 2, pp. 123-134

Persistent link: https://www.econbiz.de/10010380905

Arbitrage bounds for prices of weighted variance swaps

Davis, Mark H. A.; Obłój, Jan; Raval, Vimal - In: Mathematical finance : an international journal of … 24 (2014) 4, pp. 821-854

Persistent link: https://www.econbiz.de/10011308161

Robust pricing and hedging of double no-touch options

Cox, Alexander; Obłój, Jan - In: Finance and Stochastics 15 (2011) 3, pp. 573-605

Persistent link: https://www.econbiz.de/10009324936

Dynamic arbitrage-free asset pricing with proportional transaction costs

Deng, Xiaotie; Xu, Chunlei; Zhang, Shunming - 2000

This paper studies arbitrage-free conditions for multiperiod asset pricing in frictional financial markets with proportional transaction costs. We consider the Euclidean space for weakly arbitrage-free security markets and strongly arbitrage-free security markets, and establish the weakly...

Persistent link: https://www.econbiz.de/10010291997