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On the market viability under proportional transaction costs

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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)...

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Pricing and valuation under the real-world measure

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Numeraire portfolios and utility-based price systems under proportional transaction costs

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The super-replication theorem under proportional transaction costs revisited

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On the numerical aspects of optimal option hedging with transaction costs

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Shadow prices for continuous processes

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Pricing and hedging game options in currency models with proportional transaction costs

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