Arbitrage-free models in markets with transaction costs
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Publication:428693
DOI10.1214/ECP.v16-1671zbMath1247.91173MaRDI QIDQ428693
Hasanjan Sayit, Frederi G. Viens
Publication date: 22 June 2012
Published in: Electronic Communications in Probability (Search for Journal in Brave)
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Sticky Continuous Processes have Consistent Price Systems ⋮ Sticky processes, local and true martingales ⋮ Consistent price systems in multiasset markets ⋮ Absence of arbitrage in a general framework ⋮ No arbitrage and lead-lag relationships
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