Small transaction costs, absence of arbitrage and consistent price systems

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

zbMATH Keywords

transaction costsarbitrage

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Portfolio theory (91G10)

Related Items

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

This page was built for publication: Small transaction costs, absence of arbitrage and consistent price systems