Non-arbitrage criteria for financial markets with efficient friction

DOI10.1007/S007800100062zbMath1026.60051OpenAlexW2050761425MaRDI QIDQ1409835

Christophe Stricker, Miklós Rásonyi, Youri M.Kabanov

Publication date: 22 October 2003

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s007800100062

zbMATH Keywords

hedgingtransaction costssolvencyefficient frictionmulti-asset multi-period modelproportional transaction cost

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44)

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