The fundamental theorem of asset pricing for continuous processes under small transaction costs
By Paolo Guasoni, Miklós Rásonyi, Walter Schachermayer. 2010
131 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/38a360505493605d8755ded5dcf970b65bdbff9a
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Miklós Rásonyi
- Christian Bender
- Esko Valkeila
- Tommi Sottinen
- Paolo Guasoni
- Walter Schachermayer
- Alexander Schied
- Jan Kallsen
In Finance
- Miklós Rásonyi
- Christian Bender
- Tommi Sottinen
- Esko Valkeila
- Paolo Guasoni
- Walter Schachermayer
- Alexander Schied
- David Nualart
Citations in the corpus
- Consistent price systems and face-lifting pricing under transaction costs (2008, background): “It is shown in [44] for the frictionless case and in [18] for the case of transaction costs that the difference of the above two notions of admissibility corresponds to the difference of requiring the martingale or local martingale condition in Definition 1 above.”
- Fractional Processes as Models in Stochastic Finance (2010, methodology): “Next, we define the set of admissible strategies in this context, following [25]: given M > 0, the strategy Φ is M -admissible, if for all t ∈ [0, T ] we have that V ε t (Φ) ≥ −M(1 + St) a.”