Arbitrage risk induced by transaction costs
نویسندگان
چکیده
منابع مشابه
Arbitrage-Free Models in Markets with Transaction Costs
In the paper [7], Guasoni studies financial markets which are subject to proportional transaction costs. The standard martingale framework of stochastic finance is not applicable in these markets, since the transaction costs force trading strategies to have bounded variation, while continuoustime martingale strategies have infinite transaction cost. The main question that arises out of [7] is w...
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The aim of this note is to establish criterion of absence of arbitrage opportunities under small transaction costs for a family of multi-asset models of financial market.
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We study the general problem of an agent wishing to minimize the risk of a position at a fixed date. The agent trades in a market with a risky asset, with incomplete information, proportional transaction costs, and possibly constraints on strategies. In particular, this framework includes the problems of hedging contingent claims and maximizing utility from wealth. We obtain a minimization prob...
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We propose a new approach to the pricing and hedging of contingent claims under transaction costs in a general incomplete market in discrete time. Under the assumptions of a bounded mean-variance tradeoff, substantial risk and a nondegeneracy condition on the conditional variances of asset returns, we prove the existence of a locally risk-minimizing strategy inclusive of transaction costs for e...
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ژورنال
عنوان ژورنال: Physica A: Statistical Mechanics and its Applications
سال: 2004
ISSN: 0378-4371
DOI: 10.1016/j.physa.2003.09.015