BINARY MARKETS UNDER TRANSACTION COSTS

DOI10.1142/S0219024914500307zbMath1308.91137arXiv1209.5254MaRDI QIDQ3191836

Irene Klein, Lavinia Perez-Ostafe, Fernando Cordero

Publication date: 25 September 2014

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1209.5254

zbMATH Keywords

transaction costsarbitrage opportunitiesconsistent price systembinary marketsfrictionless market

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Portfolio theory (91G10)

Related Items (3)

CRITICAL TRANSACTION COSTS AND 1-STEP ASYMPTOTIC ARBITRAGE IN FRACTIONAL BINARY MARKETS ⋮ Asymptotic proportion of arbitrage points in fractional binary markets ⋮ Strong asymptotic arbitrage in the large fractional binary market

Cites Work

• Binary market models with memory
• Martingales and stochastic integrals in the theory of continuous trading
• Donsker Type Theorem for the Rosenblatt Process and a Binary Market Model
• The Harrison-Pliska arbitrage pricing theorem under transaction costs
• Fractional Brownian motion, random walks and binary market models

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