Journal ArticleDOI
The Harrison–Pliska arbitrage pricing theorem under transaction costs
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TLDR
In this paper, the authors consider a simple multi-asset discrete-time model of a currency market with transaction costs assuming the finite number of states of the nature and define necessary and sufficient conditions for the absence of arbitrage.About:
This article is published in Journal of Mathematical Economics.The article was published on 2001-04-01. It has received 141 citations till now. The article focuses on the topics: Fundamental theorem of asset pricing & Arbitrage pricing theory.read more
Citations
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The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
TL;DR: In this paper, a version of the Fundamental Theorem of asset pricing, which applies to Kabanov's approach to foreign exchange markets under transaction costs, is shown to be robust with respect to small changes of the bid ask spreads of Sigma_t_t=0^T.
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No arbitrage under transaction costs, with fractional brownian motion and beyond
TL;DR: In this paper, the authors established a simple no-arbitrage criterion that reduces the absence of arbitrage opportunities under proportional transaction costs to the condition that the asset price process may move arbitrarily little over arbitrarily large time intervals.
Option Pricing: Valuation Models and Applications
Mark Broadie,Jerome Detemple +1 more
TL;DR: For a survey of the option pricing literature over the last four decades, including many articles that have appeared in the pages of Management Science, see as mentioned in this paper for a comprehensive survey of recent contributions in the field.
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50th ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications
Mark Broadie,Jerome Detemple +1 more
TL;DR: An extensive review of valuation methods for European- and American-style claims is provided and emphasis is placed on recent trends and developments in methodology and modeling.
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Dual formulation of the utility maximization problem under transaction costs
TL;DR: In this article, the authors consider the problem of maximizing expected utility from terminal wealth in the context of a general multivariate financial market with transaction costs, where the utility function is not required to be $C^1.
References
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Journal ArticleDOI
Martingales and stochastic integrals in the theory of continuous trading
TL;DR: In this paper, a general stochastic model of a frictionless security market with continuous trading is developed, where the vector price process is given by a semimartingale of a certain class, and the general Stochastic integral is used to represent capital gains.
Journal ArticleDOI
Equivalent martingale measures and no-arbitrage in stochastic securities market models
TL;DR: In this article, the authors characterize vector-valued stochastic processes (with a finite index set and defined on an arbitrary-stochasic base) which can become a martingale under an equivalent change of measure.
Journal ArticleDOI
Martingales and Arbitrage in Securities Markets with Transaction Costs
Elyès Jouini,Hédi Kallal +1 more
TL;DR: In this paper, the authors derive the implications from the absence of arbitrage in dynamic securities markets with bid-ask spreads, which is equivalent to the existence of at least an equivalent probability measure that transforms some process between the bid and the ask price processes of traded securities into a martingale.
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Martingale and Arbitrage in securities markets with transaction cost
Elyès Jouini,Hedi Kallal +1 more
TL;DR: In this paper, the authors derive the implications from the absence of arbitrage in dynamic securities market with bi-ask spreads, which is equivalent to the existence of at least an equivalent probability measure that transforms some process between the bid and the ask price processes of traded securities into a martingale.
Journal ArticleDOI
Hedging and liquidation under transaction costs in currency markets
TL;DR: A general semimartingale model of a currency market with transaction costs is considered and a description of the initial endowments which allow to hedge a contingent claim in various currencies by a self-financing portfolio is given.
Related Papers (5)
The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
Martingales and Arbitrage in Securities Markets with Transaction Costs
Elyès Jouini,Hédi Kallal +1 more