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A super-replication theorem in Kabanov’s model of transaction costs

https://doi.org/10.1007/s00780-006-0022-4
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Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1007/978-3-540-31299-4_9openalex-snapshot
A General Version of the Fundamental Theorem of Asset Pricing (1994)
inferredcites →https://doi.org/10.1007/978-3-540-40004-2_17openalex-snapshot
A remark on the superhedging theorem under transaction costs
inferredcites →https://doi.org/10.1007/978-3-662-04790-3_7openalex-snapshot
Hedging of Contingent Claims under Transaction Costs
inferredcites →https://doi.org/10.1007/bf01450498openalex-snapshot
A general version of the fundamental theorem of asset pricing
inferredcites →https://doi.org/10.1007/s007800050051openalex-snapshot
A closed-form solution to the problem of super-replication under transaction costs
inferredcites →https://doi.org/10.1007/s007800050061openalex-snapshot
Hedging and liquidation under transaction costs in currency markets
inferredcites →https://doi.org/10.1007/s007800100062openalex-snapshot
No-arbitrage criteria for financial markets with efficient friction
inferredcites →https://doi.org/10.1007/s007800200089openalex-snapshot
On the closedness of sums of convex cones in $L^0$ and the robust no-arbitrage property
inferredcites →https://doi.org/10.1111/1467-9965.00003openalex-snapshot
Hedging under Transaction Costs in Currency Markets: a Discrete‐Time Model
inferredcites →https://doi.org/10.1111/1467-9965.00004openalex-snapshot
Hedging under Transaction Costs in Currency Markets: a Continuous‐Time Model
inferredcites →https://doi.org/10.1111/j.0960-1627.2004.00180.xopenalex-snapshot
The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
inferredcites →https://doi.org/10.1111/j.1467-9965.1996.tb00075.xopenalex-snapshot
HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12
inferredcites →https://doi.org/10.1137/s0363012992232579openalex-snapshot
Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
inferredcites →https://doi.org/10.1201/9780203739907openalex-snapshot
Semimartingale Theory and Stochastic Calculus
inferredcites →https://doi.org/10.1214/aoap/1177004767openalex-snapshot
There is no Nontrivial Hedging Portfolio for Option Pricing with Transaction Costs

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

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The Fundamental Theorem of Asset Pricing Under Transaction Costs
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Efficient Trading Strategies in Financial Markets with Proportional Transaction Costs
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Asymptotic Arbitrage in Large Financial Markets with Friction
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Arbitrage Pricing Theory Under Transaction Costs and Application to the Tobin Tax
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Transaction Costs and Shadow Prices in Discrete Time
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Optimal Investment with Random Endowments and Transaction Costs: Duality Theory and Shadow Prices
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No-Arbitrage Pricing of Securities Under Transaction Costs
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Superhedging
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Transaction Costs
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Multivariate utility maximization with proportional transaction costs
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Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs
inferred← citeshttps://doi.org/10.1007/s00780-011-0164-xopenalex-snapshot
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inferred← citeshttps://doi.org/10.1007/s00780-012-0201-4openalex-snapshot
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Superreplication when trading at market indifference prices
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Robust utility maximisation in markets with transaction costs
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Semimartingale price systems in models with transaction costs beyond efficient friction
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Asymptotic arbitrage in large financial markets with friction
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A note on super-hedging for investor–producers
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Efficient portfolios in financial markets with proportional transaction costs
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The super-replication theorem under proportional transaction costs revisited
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Optimal investment with random endowments and transaction costs: duality theory and shadow prices
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Relative weak compactness in infinite-dimensional Fefferman-Meyer duality
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Continuous time trading of a small investor in a limit order market
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Robust no-free lunch with vanishing risk, a continuum of assets and proportional transaction costs
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Utility maximization problem with random endowment and transaction costs: when wealth may become negative
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A dynamic version of the super-replication theorem under proportional transaction costs
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Asymptotics and duality for the Davis and Norman problem
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General financial market model defined by a liquidation value process
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On the existence of shadow prices for optimal investment with random endowment
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NO MARGINAL ARBITRAGE OF THE SECOND KIND FOR HIGH PRODUCTION REGIMES IN DISCRETE TIME PRODUCTION–INVESTMENT MODELS WITH PROPORTIONAL TRANSACTION COSTS
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NO‐ARBITRAGE PRICING FOR DIVIDEND‐PAYING SECURITIES IN DISCRETE‐TIME MARKETS WITH TRANSACTION COSTS
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SHADOW PRICES FOR CONTINUOUS PROCESSES
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Neural network approximation for superhedging prices
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Multivariate Utility Maximization with Proportional Transaction Costs and Random Endowment
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Transaction Costs, Shadow Prices, and Duality in Discrete Time
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Robust No Arbitrage Condition for Continuous-time Models with Transaction Costs
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SHORTFALL RISK MINIMIZATION UNDER FIXED TRANSACTION COSTS
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Optimal consumption under habit formation in markets with transaction costs and random endowments
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Portfolio optimisation beyond semimartingales: Shadow prices and fractional Brownian motion
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Continuous-time duality for superreplication with transient price impact
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A note on stochastic integration with respect to optional semimartingales
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Part III Bibliography
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