Discrete-time market models from the small investor point of view and the first fundamental-type theorem

[1] Dalang, Robert C., and Andrew Morton, and Walter Willinger. “Equivalent martingale measures and no-arbitrage in stochastic securities market models.” Stochastics Stochastics Rep. 29, no. 2 (1990): 185–201. Cited on 17 and 18.Search in Google Scholar

[2] Delbaen, Freddy, and Walter Schachermayer. “A general version of the fundamental theorem of asset pricing.” Math. Ann. 300, no. 3 (1994): 463–520. Cited on 18Search in Google Scholar

[3] Delbaen, Freddy, and Walter Schachermayer. “The fundamental theorem of asset pricing for unbounded stochastic processes.” Math. Ann. 312, no. 2 (1998): 215–250. Cited on 18.Search in Google Scholar

[4] Harrison, J. Michael, and David M. Kreps. “Martingales and arbitrage in multi-period securities markets.” J. Econom. Theory 20, no. 3 (1979): 381–408. Cited on 18.Search in Google Scholar

[5] Harrison, J. Michael, and Stanley R. Pliska. “Martingales and stochastic integrals in the theory of continuous trading.” Stochastic Process. Appl. 11, no. 3 (1981): 215–260. Cited on 18.Search in Google Scholar

[6] Jacod, Jean, and Al’bert N. Shiryaev. “Local martingales and the fundamental asset pricing theorems in the discrete-time case.” Finance Stoch. 2, no. 3 (1998): 259–273. Cited on 18.Search in Google Scholar

[7] Jensen, Bjarne A. “Valuation before and after tax in the discrete time, finite state no arbitrage model.” Ann. Finance 5, no. 1 (2009): 91–123. Cited on 18.Search in Google Scholar

[8] Jouini, Elyes, and Hédi Kallal. “Martingales and arbitrage in securities markets with transaction costs.” J. Econom. Theory 66, no. 1 (1995): 178–197. Cited on 18.Search in Google Scholar

[9] Kabanov, Yuri, and Miklós Rásonyi, and Christophe Stricker. “No-arbitrage criteria for financial markets with efficient friction.” Finance Stoch. 6, no. 3 (2002): 371–382. Cited on 18.Search in Google Scholar

[10] Kabanov, Yuri, and Mher Safarian. Markets with transaction costs. Mathematical theory. Springer Finance. Berlin: Springer-Verlag, 2009. Cited on 18.10.1007/978-3-540-68121-2Search in Google Scholar

[11] Rola, Przemysław. “Arbitrage in markets with bid-ask spreads: the fundamental theorem of asset pricing in finite discrete time markets with bid-ask spreads and a money account.” Ann. Finance 11, no. 3-4, (2015): 453–475. Cited on 18.Search in Google Scholar

[12] Schachermayer, Walter. “The fundamental theorem of asset pricing under proportional transaction costs in finite discrete time.” Math. Finance 14, no. 1 (2004): 19–48. Cited on 18.Search in Google Scholar