Discrete time arbitrage under transaction costs

• Autorzy: Joanna Piasecka
• Języki publikacji: EN

Abstrakty

EN

Conditions for the absence of arbitrage in discrete time markets with various kinds of transaction costs are shown.

Słowa kluczowe

EN

martingale measure; arbitrage opportunity

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Applicationes Mathematicae
• Rocznik: 2000
• Tom: 27
• Numer: 4
• Strony: 419-436

Daty

wydano

2000

otrzymano

1999-10-15

poprawiono

2000-01-06

Twórcy

autor

Joanna Piasecka

• Institute of Mathematics, Maria Curie-Skłodowska University, 20-031 Lublin, Poland

Bibliografia

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