Arbitrage-free models in markets with transaction costs

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

Authors: Hasanjan Sayit, Frederi Viens 

Publication date: 22 June 2012

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

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

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 (10)

• Market Models with Optimal Arbitrage
• Sticky processes, local and true martingales
• Sticky Continuous Processes have Consistent Price Systems
• NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND
• 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
• On the stickiness property

This page was built for publication: Arbitrage-free models in markets with transaction costs

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q428693)