No label defined (Q4792534)

The author studies three aspects of the position of an investor in a market with cash and a risky asset, with nonlinear transaction costs. Characterization of absence of arbitrage is considered first. After reporting a characterization result for linear transaction costs, the author gives a sufficient condition for absence of arbitrage in the nonlinear case, under special assumptions. The author goes on to examine the set of hedging endowments for a given contingent claim. Again a clean result is adapted from other papers for the linear case; for the nonlinear case the form of the set is given in the context of a model with special return process, under additional parametric restrictions. Finally, for the mimimal amount of cash needed to reach the set considered in the previous point, some parametric restrictions are given under which a formula valid for the linear case generalizes to the nonlinear setting. For the entire collection see [Zbl 0988.00099].