The Harrison-Pliska arbitrage pricing theorem under transaction costs
By Yuri M. Kabanov, Christophe Stricker. 2001
122 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/e8df9c3d0b4e7a3cf386ac0c025c289b16ab93f6
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
- Paolo Guasoni
- Walter Schachermayer
- Jocelyne Bion-Nadal
- Miklós Rásonyi
- Alexander Schied
- Jan Kallsen
- Daniel Hernandez-Hernandez
- Mark P. Owen
In Finance
- Paolo Guasoni
- Walter Schachermayer
- Jocelyne Bion-Nadal
- Miklós Rásonyi
- Alexander Schied
- Mark P. Owen
- Jan Kallsen
- Daniel Hernandez-Hernandez
Citations in the corpus
- The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time (2004, methodology): “We now reformulate Lemma 2 of Kabanov and Stricker (2001b) and, for the convenience of the reader, we also give a proof.”
- Optimal investment with transaction costs and without semimartingales (2002, background): “Kabanov and Stricker [12] distinguish two kinds of arbitrage in the context of transaction costs.”
- Bid-Ask Dynamic Pricing in Financial Markets with Transaction Costs and Liquidity Risk (2007, methodology): “A matrix formalism introduced by Kabanov [48], for pricing under proportional transaction costs has been developed in many papers, as in Kabanov and Stricker [49], in Schachermayer [61]...”