Small transaction costs, absence of arbitrage and consistent price systems
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Publication:1761449
DOI10.1007/s00780-011-0164-xzbMath1261.91043OpenAlexW2053048501MaRDI QIDQ1761449
Julien Grépat, Youri M.Kabanov
Publication date: 15 November 2012
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-011-0164-x
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Related Items (4)
No-arbitrage of second kind in countable markets with proportional transaction costs ⋮ Unnamed Item ⋮ NO MARGINAL ARBITRAGE OF THE SECOND KIND FOR HIGH PRODUCTION REGIMES IN DISCRETE TIME PRODUCTION–INVESTMENT MODELS WITH PROPORTIONAL TRANSACTION COSTS ⋮ Robust no-free lunch with vanishing risk, a continuum of assets and proportional transaction costs
Cites Work
- The fundamental theorem of asset pricing for continuous processes under small transaction costs
- A super-replication theorem in Kabanov's model of transaction costs
- Markets with transaction costs. Mathematical theory.
- Hedging and liquidation under transaction costs in currency markets
- On the closedness of sums of convex cones in \(L^0\) and the robust no-arbitrage property
- The Harrison-Pliska arbitrage pricing theorem under transaction costs
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