Fundamental Theorem of Asset Pricing Under Transaction Costs and Model Uncertainty

Author:

Bayraktar Erhan,Zhang Yuchong

Publisher

Institute for Operations Research and the Management Sciences (INFORMS)

Subject

Management Science and Operations Research,Computer Science Applications,General Mathematics

Cited by 23 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献

1. On entropy martingale optimal transport theory;Decisions in Economics and Finance;2024-01-26

2. MODEL-FREE WEAK NO-ARBITRAGE AND SUPERHEDGING UNDER TRANSACTION COSTS BEYOND EFFICIENT FRICTION;International Journal of Theoretical and Applied Finance;2024-01-23

3. Model-Free Bounds for Multi-Asset Options Using Option-Implied Information and Their Exact Computation;Management Science;2023-04

4. Model Uncertainty: A Reverse Approach;SIAM Journal on Financial Mathematics;2022-09

5. Pathwise superhedging under proportional transaction costs;Mathematics and Financial Economics;2022-08-03

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