Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs

A general version of the fundamental theorem of asset pricing

Freddy Delbaen, Walter Schachermayer · Mathematische Annalen · 1994 · 1.5K citations

Business, Economics, Finance +13

HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH¹²

Jakša Cvitanić, Ioannis Karatzas · Mathematical Finance · 1996 · 331 citations

Business, Finance, Mathematics +17

ESSENTIALS OF STOCHASTIC FINANCE

Jordan Stoyanov · 2000 · 305 citations

Engineering, Finance, Mathematics +6

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

Walter Schachermayer · Mathematical Finance · 2003 · 286 citations

Business, Economics, Finance +13

Consistent price systems and face-lifting pricing under transaction costs

Paolo Guasoni, Miklós Rásonyi, Walter Schachermayer · The Annals of Applied Probability · 2008 · 141 citations · Full text

Engineering, Economics, Pricing Theory +9