most citedProspective strict no-arbitrage and the fundamental theorem of asset pricing under transaction costs

4 citations · 4 across the 2 of their papers we have counts for

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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…