Small transaction costs, absence of arbitrage and consistent price systems
نویسندگان
چکیده
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.
منابع مشابه
The Fundamental Theorem of Asset Pricing for Continuous Processes under Small Transaction Costs
A version of the fundamental theorem of asset pricing is proved for continuous asset prices with small proportional transaction costs. Equivalence is established between: (a) the absence of arbitrage with general strategies for arbitrarily small transaction costs ε > 0, (b) the absence of free lunches with bounded risk for arbitrarily small transaction costs ε > 0, and (c) the existence of ε-co...
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ورودعنوان ژورنال:
- Finance and Stochastics
دوره 16 شماره
صفحات -
تاریخ انتشار 2012