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FTAP in finite discrete time with transaction costs by utility maximization

Sass, Jörn; Smaga, Martin - In: Finance and stochastics 18 (2014) 4, pp. 805-823

Persistent link: https://www.econbiz.de/10010416234

Prospective strict no-arbitrage and the fundamental theorem of asset pricing under transaction costs

Kühn, Christoph; Molitor, Alexander - In: Finance and stochastics 23 (2019) 4, pp. 1049-1077

Persistent link: https://www.econbiz.de/10012114690

The fundamental theorem of asset pricing with and without transaction costs

Kühn, Christoph - 2025

Persistent link: https://www.econbiz.de/10015359132

Arbitrage theory in models with transaction costs beyond efficient friction

Molitor, Alexander - 2022

Persistent link: https://www.econbiz.de/10013187807

The fundamental theorem of asset pricing with and without transaction costs

Kühn, Christoph - In: Mathematical Finance 35 (2024) 2, pp. 567-609

We prove a version of the fundamental theorem of asset pricing (FTAP) in continuous time that is based on the strict no‐arbitrage …

Persistent link: https://www.econbiz.de/10015410778

No-arbitrage pricing for dividend-paying securities in discrete-time markets with transaction costs

Bielecki, Tomasz R.; Cialenco, Igor; Rodriguez, Rodrigo - In: Mathematical finance : an international journal of … 25 (2015) 4, pp. 673-701

Persistent link: https://www.econbiz.de/10011350542

On the market viability under proportional transaction costs

Bayraktar, Erhan; Yu, Xiang - In: Mathematical finance : an international journal of … 28 (2018) 3, pp. 800-838

Persistent link: https://www.econbiz.de/10011969083

How local in time is the no-arbitrage property under capital gains taxes?

Kühn, Christoph - In: Mathematics and financial economics 13 (2019) 3, pp. 329-358

Persistent link: https://www.econbiz.de/10012055822

Finitely Additive Equivalent Martingale Measures

Berti, Patrizia; Pratelli, Luca; Rigo, Pietro - 2010

Let L be a linear space of real bounded random variables on the probability space (omega,A, P0). There is a finitely additive probability P on A, such that P tilde P0 and EP (X) = 0 for all X in L, if and only if cEQ(X) = ess sup(-X), X in L, for some constant c 0 and (countably additive)...

Persistent link: https://www.econbiz.de/10010335300

Finitely Additive Equivalent Martingale Measures

Berti, Patrizia; Pratelli, Luca; Rigo, Pietro - Dipartimento di Scienze Economiche e Aziendali, … - 2010

Persistent link: https://www.econbiz.de/10009651044