Computation of arbitrage in frictional bond markets
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Publication:860869
DOI10.1016/J.TCS.2006.07.014zbMATH Open1104.91025OpenAlexW2021663756MaRDI QIDQ860869FDOQ860869
Authors: Xiaotie Deng, Mao-Cheng Cai, Zhongfei Li 
Publication date: 9 January 2007
Published in: Theoretical Computer Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.tcs.2006.07.014
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Cites Work
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- Martingales and arbitrage in multiperiod securities markets
- Martingales and arbitage in securities markets with transaction costs
- Martingales and stochastic integrals in the theory of continuous trading
- Arbitrage and equilibrium in economies with infinitely many commodities
- Dynamic Arbitrage-Free Asset Pricing with Proportional Transaction Costs
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- COMPUTATIONAL COMPLEXITY OF ARBITRAGE IN FRICTIONAL SECURITY MARKET
- Arbitrage and viability in securities markets with fixed trading costs
- Approximation and computation of arbitrage in frictional foreign exchange market (extended abstract)
- Algorithms – ESA 2004
Cited In (6)
- Arbitrage risk induced by transaction costs
- COMPUTATIONAL COMPLEXITY OF ARBITRAGE IN FRICTIONAL SECURITY MARKET
- Algorithmic Applications in Management
- Arbitrage valuation and bounds for sinking-fund bonds with multiple sinking-fund dates
- Approximation and computation of arbitrage in frictional foreign exchange market (extended abstract)
- Title not available (Why is that?)
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