Asset pricing in an imperfect world

Abstract

In a model with no given probability measure, we consider asset pricing in the presence of frictions and imperfections and characterize the property of coherent pricing, a notion related to (but weaker than) the no arbitrage... [ view full abstract ]

Authors

  1. Gianluca Cassese (Università Milano Bicocca)

Topic Areas

Arbitrage Theory , Market Frictions , Transaction Costs

Session

TU-P-DA » Robust and Model-Free Finance (14:30 - Tuesday, 17th July, Davis)

Presentation Files

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