The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time

By Walter Schachermayer. 2004

296 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/1f60462a910df7388df59cd579fe8224b5b0257c

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Citations in the corpus

MULTIVARIATE RISK MEASURES: A CONSTRUCTIVE APPROACH BASED ON SELECTIONS (2013, methodology): “In the case of d currencies, the cone K is usually generated by a bid-ask matrix, as in Kabanov’s transaction costs model, see Kabanov (1999) and Schachermayer (2004).”
Consistent price systems and face-lifting pricing under transaction costs (2008, background): “This concept dates back to the seminal paper [21] and was further developed in the subsequent works [9, 22, 23, 25, 37].”
Optimal investment with transaction costs and without semimartingales (2002, result): “Very recently, Schachermayer [18] (see also Kabanov, Rasonyi and Stricker [11] for an alternative proof) has shown that in discrete time with a general , the analogous of martingale measures with transaction costs are strictly consistent price systems, and their existence is equivalent to the robust”
The fundamental theorem of asset pricing for continuous processes under small transaction costs (2010, methodology): “A satisfactory analogue to the “fundamental theorem of asset pricing” was obtained in [18] and [23] for discrete-time models.”
NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND (2006, background): “Finally, we believe that these results will improve the understanding of absence of arbitrage under transaction costs, which is now clear in finite discrete time (see Kabanov, R´ asonyi & Stricker (2001, 2002, 2003) and Schachermayer (2004) ), but still lacks a definitive treatment in the general c”
Asymptotics and duality for the Davis and Norman problem (2010, background): “The pairs ð~ S; ZÞ correspond to the consistent price systems of [9,22].”
Set-valued risk measures for conical market models (2010, methodology): “Theorem 5.2 ([ 14 ], theorem 4.1, [13], corollary 15) Assume (NA r ) is satisfied.”
Modelling energy spot prices by volatility modulated Levy-driven Volterra processes (2013, background): “In such a set-up, even processes which are not semimartingales can ensure that we have no free lunch with vanishing risk in the sense of Delbaen and Schachermayer [42].”