142 citations · 240 across the 21 of their papers we have counts for
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q-fin.PR2015★ 25 cited
Hedging, arbitrage and optimality with superlinear frictions
Paolo Guasoni, Miklós Rásonyi
In a continuous-time model with multiple assets described by càdlàg processes, this paper characterizes superhedging prices, absence of arbitrage, and utility maximizing strategies…
q-fin.PR2008★ 142 cited
Consistent price systems and face-lifting pricing under transaction costs
Paolo Guasoni, Miklós Rásonyi, Walter Schachermayer
In markets with transaction costs, consistent price systems play the same role as martingale measures in frictionless markets. We prove that if a continuous price process has condi…