FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W1983298220> ?p ?o ?g. }

• W1983298220 endingPage "750" @default.
• W1983298220 startingPage "738" @default.
• W1983298220 abstract "According to the classic no arbitrage theory of asset pricing, in a frictionless market a No Free Lunch dynamic price process associated with any essentially bounded asset is a martingale under an equivalent probability measure. However, real financial markets are not frictionless. We introduce an axiomatic approach of Time Consistent Pricing Procedure (TCPP), in a model free setting, to assign to every financial position a dynamic ask (resp. bid) price process. Taking into account both transaction costs and liquidity risk this leads to the convexity (resp. concavity) of the ask (resp. bid) price. We prove that the No Free Lunch condition for a TCPP is equivalent to the existence of an equivalent probability measure R that transforms a process between the bid price process and the ask price process of every financial instrument into a martingale. Furthermore we prove that the ask (resp. bid) price process associated with every financial instrument is then a R super-martingale (resp. R sub-martingale) which has a càdlàg version. The axiomatic of TCPP allows for the construction of pricing procedures extending the dynamics of reference assets and calibrated on option prices for a reference family of options. We characterize such TCPP in terms of their dual representation. Such TCPP provide new bounds compatible with the observed bid and ask prices for the reference options and reducing the bid ask spreads for the other financial instruments." @default.
• W1983298220 created "2016-06-24" @default.
• W1983298220 creator A5035802185 @default.
• W1983298220 date "2009-12-01" @default.
• W1983298220 modified "2023-10-03" @default.
• W1983298220 title "Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk" @default.
• W1983298220 cites W1969897341 @default.
• W1983298220 cites W1982403027 @default.
• W1983298220 cites W1983652428 @default.
• W1983298220 cites W1985018066 @default.
• W1983298220 cites W1988357081 @default.
• W1983298220 cites W1995117598 @default.
• W1983298220 cites W2021355027 @default.
• W1983298220 cites W2023147992 @default.
• W1983298220 cites W2027654260 @default.
• W1983298220 cites W2028548809 @default.
• W1983298220 cites W2036636216 @default.
• W1983298220 cites W2040622867 @default.
• W1983298220 cites W2041550349 @default.
• W1983298220 cites W2044141035 @default.
• W1983298220 cites W2058297600 @default.
• W1983298220 cites W2060302284 @default.
• W1983298220 cites W2075030776 @default.
• W1983298220 cites W2078274626 @default.
• W1983298220 cites W2079879443 @default.
• W1983298220 cites W2086565819 @default.
• W1983298220 cites W2089020092 @default.
• W1983298220 cites W2106706901 @default.
• W1983298220 cites W2118821424 @default.
• W1983298220 cites W2130687778 @default.
• W1983298220 cites W2133183661 @default.
• W1983298220 cites W2136862484 @default.
• W1983298220 cites W2161007682 @default.
• W1983298220 cites W2176867255 @default.
• W1983298220 cites W2182449369 @default.
• W1983298220 cites W2264654563 @default.
• W1983298220 cites W2890406305 @default.
• W1983298220 cites W3021593604 @default.
• W1983298220 cites W3121294156 @default.
• W1983298220 cites W3122729695 @default.
• W1983298220 cites W3123979826 @default.
• W1983298220 cites W4229984434 @default.
• W1983298220 cites W4230747638 @default.
• W1983298220 cites W4233412998 @default.
• W1983298220 cites W4236811028 @default.
• W1983298220 cites W4244967830 @default.
• W1983298220 doi "https://doi.org/10.1016/j.jmateco.2009.05.004" @default.
• W1983298220 hasPublicationYear "2009" @default.
• W1983298220 type Work @default.
• W1983298220 sameAs 1983298220 @default.
• W1983298220 citedByCount "42" @default.
• W1983298220 countsByYear W19832982202012 @default.
• W1983298220 countsByYear W19832982202013 @default.
• W1983298220 countsByYear W19832982202014 @default.
• W1983298220 countsByYear W19832982202015 @default.
• W1983298220 countsByYear W19832982202016 @default.
• W1983298220 countsByYear W19832982202017 @default.
• W1983298220 countsByYear W19832982202018 @default.
• W1983298220 countsByYear W19832982202019 @default.
• W1983298220 countsByYear W19832982202020 @default.
• W1983298220 countsByYear W19832982202021 @default.
• W1983298220 countsByYear W19832982202023 @default.
• W1983298220 crossrefType "journal-article" @default.
• W1983298220 hasAuthorship W1983298220A5035802185 @default.
• W1983298220 hasBestOaLocation W19832982202 @default.
• W1983298220 hasConcept C10138342 @default.
• W1983298220 hasConcept C105795698 @default.
• W1983298220 hasConcept C144237770 @default.
• W1983298220 hasConcept C149782125 @default.
• W1983298220 hasConcept C162324750 @default.
• W1983298220 hasConcept C162889289 @default.
• W1983298220 hasConcept C183582576 @default.
• W1983298220 hasConcept C33923547 @default.
• W1983298220 hasConcept C34881761 @default.
• W1983298220 hasConcept C48406656 @default.
• W1983298220 hasConcept C556758197 @default.
• W1983298220 hasConcept C76281924 @default.
• W1983298220 hasConcept C85106312 @default.
• W1983298220 hasConcept C90329073 @default.
• W1983298220 hasConceptScore W1983298220C10138342 @default.
• W1983298220 hasConceptScore W1983298220C105795698 @default.
• W1983298220 hasConceptScore W1983298220C144237770 @default.
• W1983298220 hasConceptScore W1983298220C149782125 @default.
• W1983298220 hasConceptScore W1983298220C162324750 @default.
• W1983298220 hasConceptScore W1983298220C162889289 @default.
• W1983298220 hasConceptScore W1983298220C183582576 @default.
• W1983298220 hasConceptScore W1983298220C33923547 @default.
• W1983298220 hasConceptScore W1983298220C34881761 @default.
• W1983298220 hasConceptScore W1983298220C48406656 @default.
• W1983298220 hasConceptScore W1983298220C556758197 @default.
• W1983298220 hasConceptScore W1983298220C76281924 @default.
• W1983298220 hasConceptScore W1983298220C85106312 @default.
• W1983298220 hasConceptScore W1983298220C90329073 @default.
• W1983298220 hasIssue "11" @default.
• W1983298220 hasLocation W19832982201 @default.
• W1983298220 hasLocation W19832982202 @default.
• W1983298220 hasOpenAccess W1983298220 @default.
• W1983298220 hasPrimaryLocation W19832982201 @default.

• next