Arbitrage-free models in markets with transaction costs

DOI10.1214/ECP.V16-1671MaRDI QIDQ428693zbMATH OpenFDO

Authors 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)

Recommendations

• NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND
• On the stickiness property
• Asymptotic arbitrage with small transaction costs
• Non-arbitrage criteria for financial markets with efficient friction
• Arbitrage and hedging in model-independent markets with frictions

Cited in

(10)

• On the stickiness property
• Dynamic Arbitrage-Free Asset Pricing with Proportional Transaction Costs
• Market Models with Optimal Arbitrage
• Sticky processes, local and true martingales
• Sticky Continuous Processes have Consistent Price Systems
• Consistent price systems in multiasset markets
• NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND
• Absence of arbitrage in a general framework
• No arbitrage and lead-lag relationships
• Semimartingale price systems in models with transaction costs beyond efficient friction

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