Asymptotic arbitrage with small transaction costs
DOI10.1007/S00780-014-0242-YzbMATH Open1309.60042OpenAlexW1964459921MaRDI QIDQ2255014FDOQ2255014
Lavinia Perez-Ostafe, Emmanuel Lépinette, Irene Klein
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
Recommendations
asymptotic arbitragetransaction costsBlack-Scholes modelfinancial marketlocal martingalesconsistent price systemcàdlàg paths
Martingales with continuous parameter (60G44) Microeconomic theory (price theory and economic markets) (91B24) Stochastic models in economics (91B70)
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Cited In (11)
- Strong asymptotic arbitrage in the large fractional binary market
- Almost log-optimal trading strategies for small transaction costs in model with stochastic coefficients
- Homogenization and Asymptotics for Small Transaction Costs: The Multidimensional Case
- Optimal investment with intermediate consumption under no unbounded profit with bounded risk
- UTILITY MAXIMIZATION IN A LARGE MARKET
- CRITICAL TRANSACTION COSTS AND 1-STEP ASYMPTOTIC ARBITRAGE IN FRACTIONAL BINARY MARKETS
- Short Communication: A Note on Utility Maximization with Proportional Transaction Costs and Stability of Optimal Portfolios
- Small transaction cost asymptotics and dynamic hedging
- Large Financial Markets, Discounting, and No Asymptotic Arbitrage
- Pricing of contingent claims in large markets
- Optimal investment and consumption with labor income in incomplete markets
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