Arbitrage in markets without shortselling with proportional transaction costs

• Autorzy: Przemysław Rola
• Języki publikacji: EN

Abstrakty

EN

We consider markets with proportional transaction costs and shortsale restrictions. We give necessary and sufficient conditions for the absence of arbitrage and also estimate the super-replication price.

Kategorie tematyczne

• 91B25: Asset pricing models
• 91B26: Market models (auctions, bargaining, bidding, selling, etc.)
• 91B24: Price theory and market structure
• 91G80: Financial applications of other theories (stochastic control, calculus of variations, PDE, SPDE, dynamical systems)
• 60G42: Martingales with discrete parameter

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Applicationes Mathematicae
• Rocznik: 2013
• Tom: 40
• Numer: 3
• Strony: 281-295

Daty

wydano

2013

Twórcy

autor

Przemysław Rola

• Institute of Mathematics, Jagiellonian University, 30-348 Kraków, Poland

Identyfikatory

DOI

10.4064/am40-3-2