Discrete time arbitrage under transaction costs
نویسندگان
چکیده
منابع مشابه
No-arbitrage in Discrete-time Markets with Proportional Transaction Costs and General Information structure
We discuss the no-arbitrage conditions in a general framework for discretetime models of financial markets with proportional transaction costs and general information structure. We extend the results of Kabanov and al. (2002), Kabanov and al. (2003) and Schachermayer (2004) to the case where bid-ask spreads are not known with certainty. In the “no-friction” case, we retrieve the result of Kaban...
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ژورنال
عنوان ژورنال: Applicationes Mathematicae
سال: 2000
ISSN: 1233-7234,1730-6280
DOI: 10.4064/am-27-4-419-436