No-arbitrage in Discrete-time Markets with Proportional Transaction Costs and General Information structure
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Finance,Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/s00780-006-0002-8.pdf
Reference13 articles.
1. Bouchard B., Pham H. (2005) Optimal consumption in discrete time financial models with industrial investment opportunities and non-linear returns. Ann Appl Probab 15: 2393–2421
2. Chybiryakov, O., Gaussel, N. How to hedge with a delayed information? Preprint (2003)
3. Delbaen F., Schachermayer W. (1994) A general version of the fundamental theorem of asset pricing. Math Ann 300, 463–520
4. Jouini E., Kallal H. (1995) Martingales, arbitrage and equilibrium in securities markets with transaction costs. J Econ Theory 66: 178–197
5. Kabanov, Y., Stricker, C. A teachers’ note on no-arbitrage criteria. In: Séminaire de probabilités XXXV, Lecturer Notes in Mathematics 1755, pp. 149–152 Berlin Heidelberg New York: Springer 2001
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