Arbitrage-free models in markets with transaction costs

DOI10.1214/ECP.V16-1671zbMATH Open1247.91173MaRDI QIDQ428693FDOQ428693

Hasanjan Sayit, Frederi Viens

Publication date: 22 June 2012

Published in: Electronic Communications in Probability (Search for Journal in Brave)

zbMATH Keywords

fractional Brownian motiontransaction costfinancial marketstime-changearbitragesticky process

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Portfolio theory (91G10)

Cited In (8)

• Market Models with Optimal Arbitrage
• Sticky processes, local and true martingales
• Sticky Continuous Processes have Consistent Price Systems
• Consistent price systems in multiasset markets
• Absence of arbitrage in a general framework
• No arbitrage and lead-lag relationships
• Semimartingale price systems in models with transaction costs beyond efficient friction
• Dynamic Arbitrage-Free Asset Pricing with Proportional Transaction Costs

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