The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time

We prove a version of the Fundamental Theorem of Asset Pricing, which applies to Kabanov's modeling of foreign exchange markets under transaction costs. Th...

W Schachermayer - 《Mathematical Finance》

Hedging of claims with physical delivery under convex transaction costs

pricingprobability/ contingent claims hedgingconvex transaction costsdiscrete-time market modelKabanov currency market modelSchachermayer robust no-arbitrage condition...

T Pennanen，I Penner - 《Siam Journal on Financial Mathematics》

The Harrison–Pliska arbitrage pricing theorem under transaction costs

We consider a simple multi-asset discrete-time model of a currency market with transaction costs assuming the finite number of states of the nature. Defini...

YM Kabanov，C Stricker - 《Journal of Mathematical Economics》

Randomized Stopping Times and American Option Pricing with Transaction Costs

In a general discrete-time market model with proportional transaction costs, we derive new expectation representations of the range of arbitrage-free price...

P Chalasani，S Jha - 《Mathematical Finance》

The fundamental theorem of asset pricing for continuous processes under small transaction costs

A version of the fundamental theorem of asset pricing is proved for continuous asset prices with small proportional transaction costs. Equivalence is estab...

P Guasoni，M Rasonyi，W Schachermayer - 《Annals of Finance》

On arbitrage and replication in the fractional Black–Scholes pricing model

It has been proposed that the arbitrage possibility in the fractional Black-Scholes model depends on the definition of the stochastic integral. More precisely, if one uses the Wick–It–Skorohod integral one obtains an arbitrage-free mod...

S Tommi，V Esko - 《Statistics & Decisions/international Mathematical Journal for Stochastic Methods & Models》

A Note on the Boyle–Vorst Discrete‐Time Option Pricing Model with Transactions Costs

K. Palmer, A Note on the Boyle-Vorst Discrete-Time Option Pricing Model with Transaction Costs, Mathematical Finance 11 (2001), 357-363....

K Palmer - 《Mathematical Finance》

General Arbitrage Pricing Model: I - Probability Approach

Key words: Fair price, Fundamental theorem of asset pricing, General arbitrage pricing model, Generalized arbitrage, Possibility space, Risk-neutral measure, Set of attainable incomes, Set of possible elementary events, Transaction costs...

A Cherny - General Arbitrage Pricing Model: I - Probability Approach

The Least Cost Superreplicating Portfolio for Short Puts and Calls in The Boyle–Vorst Model with Transaction Costs

Since Black and Scholes (1973) introduced their option-pricing model in frictionless markets, many authors have attempted to develop models incorporating transaction costs. The groundwork of modeling the effects of transaction costs was ...

GY Chen，K Palmer，YC Sheu - 《World Entific Book Chapters》