Fundamental Theorem of Asset Pricing Under Transaction Costs and Model Uncertainty-Reference-Cited by-同舟云学术

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Fundamental Theorem of Asset Pricing Under Transaction Costs and Model Uncertainty

Published:2016-08 Issue:3 Volume:41 Page:1039-1054
ISSN:0364-765X
Container-title:Mathematics of Operations Research
language:en
Short-container-title:Mathematics of OR

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

Link

https://pubsonline.informs.org/doi/pdf/10.1287/moor.2015.0767

Reference20 articles.

1. A MODEL-FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER-REPLICATION THEOREM

2. Consistent price systems under model uncertainty

3. Arbitrage and duality in nondominated discrete-time models

4. Equivalent martingale measures and no-arbitrage in stochastic securities market models

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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