Robust no-free lunch with vanishing risk, a continuum of assets and proportional transaction costs

DOI10.1016/j.spa.2014.04.012zbMath1306.91150arXiv1302.0361OpenAlexW1816719405MaRDI QIDQ740666

Emmanuel Lépinette, Erik Taflin, Bruno Bouchard

Publication date: 4 September 2014

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1302.0361

zbMATH Keywords

transaction costsno-arbitragecontinuous time bond market

Mathematics Subject Classification ID

Related Items (5)

Essential supremum with respect to a random partial order ⋮ Essential supremum and essential maximum with respect to random preference relations ⋮ Asymptotic arbitrage with small transaction costs ⋮ Robust No Arbitrage of the Second Kind with a Continuum of Assets and Proportional Transaction Costs ⋮ General financial market model defined by a liquidation value process

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