3 papers
q-fin.MF2018
Prospective strict no-arbitrage and the fundamental theorem of asset pricing under transaction costs
Christoph Kühn, Alexander Molitor
In discrete time markets with proportional transaction costs, Schachermayer (2004) shows that robust no-arbitrage is equivalent to the existence of a strictly consistent price syst…
q-fin.PM2018
How local in time is the no-arbitrage property under capital gains taxes ?
Christoph Kühn
In frictionless financial markets, no-arbitrage is a local property in time. This means that a discrete time model is arbitrage-free if and only if there does not exist a one-perio…
q-fin.TR2012
Price-Setting of Market Makers: A Filtering Problem with an Endogenous Filtration
Christoph Kühn, Matthias Riedel
We study the price-setting problem of market makers under risk neutrality and perfect competition in continuous time. Thereby we follow the classic Glosten-Milgrom model that defin…