Consistent price systems and face-lifting pricing under transaction costs

DOI10.1214/07-AAP461zbMath1133.91422arXiv0803.4416OpenAlexW2028380720MaRDI QIDQ2426603

Paolo Guasoni, Miklós Rásonyi, Walter Schachermayer

Publication date: 23 April 2008

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0803.4416

zbMATH Keywords

fractional Brownian motionsuperreplicationtransaction costs

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Financial applications of other theories (91G80) Stochastic processes (60G99)

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