Arbitrage for simple strategies

• Autorzy: Agnieszka Rygiel , Łukasz Stettner
• Języki publikacji: EN

Abstrakty

EN

Various aspects of arbitrage on finite horizon continuous time markets using simple strategies consisting of a finite number of transactions are studied. Special attention is devoted to transactions without shortselling, in which we are not allowed to borrow assets. The markets without or with proportional transaction costs are considered. Necessary and sufficient conditions for absence of arbitrage are shown.

Kategorie tematyczne

• 91B26: Market models (auctions, bargaining, bidding, selling, etc.)
• 60G99: None of the above, but in this section
• 91G10: Portfolio theory

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Applicationes Mathematicae
• Rocznik: 2012
• Tom: 39
• Numer: 4
• Strony: 379-412

Daty

wydano

2012

Twórcy

autor

Agnieszka Rygiel

• Higher Vocational School in Tarnow, 33-100 Tarnów, Poland

autor

Łukasz Stettner

• Institute of Mathematics, Polish Academy of Sciences, 00-956 Warszawa, Poland

Identyfikatory

DOI

10.4064/am39-4-1