Asymptotic arbitrage with small transaction costs

DOI10.1007/S00780-014-0242-YMaRDI QIDQ2255014zbMATH OpenOpenAlexFDO

Authors Irene Klein, Lavinia Perez-Ostafe, Emmanuel Lépinette

Publication date 6 February 2015

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

Full work available at URL https://doi.org/10.1007/s00780-014-0242-y

zbMATH Keywords

asymptotic arbitragetransaction costsBlack-Scholes modelfinancial marketlocal martingalesconsistent price systemcàdlàg paths

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Microeconomic theory (price theory and economic markets) (91B24) Stochastic models in economics (91B70)

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Cited in

(16)

• Strong asymptotic arbitrage in the large fractional binary market
• On free lunches in random walk markets with short-sale constraints and small transaction costs, and weak convergence to Gaussian continuous-time processes
• Almost log-optimal trading strategies for small transaction costs in model with stochastic coefficients
• Short communication: A note on utility maximization with proportional transaction costs and stability of optimal portfolios
• Homogenization and Asymptotics for Small Transaction Costs: The Multidimensional Case
• Time-consistent asymptotic exponential arbitrage with small probable maximum loss
• Arbitrage-free models in markets with transaction costs
• Binary markets under transaction costs
• Critical transaction costs and 1-step asymptotic arbitrage in fractional binary markets
• Optimal investment with intermediate consumption under no unbounded profit with bounded risk
• UTILITY MAXIMIZATION IN A LARGE MARKET
• Arbitrage for simple strategies
• Small transaction cost asymptotics and dynamic hedging
• Large Financial Markets, Discounting, and No Asymptotic Arbitrage
• Optimal investment and consumption with labor income in incomplete markets
• Pricing of contingent claims in large markets

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