Discrete time arbitrage under transaction costs

Joanna Piasecka

Applicationes Mathematicae (2000)

  • Volume: 27, Issue: 4, page 419-436
  • ISSN: 1233-7234

Abstract

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

How to cite

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Piasecka, Joanna. "Discrete time arbitrage under transaction costs." Applicationes Mathematicae 27.4 (2000): 419-436. <http://eudml.org/doc/219285>.

@article{Piasecka2000,
abstract = {Conditions for the absence of arbitrage in discrete time markets with various kinds of transaction costs are shown.},
author = {Piasecka, Joanna},
journal = {Applicationes Mathematicae},
keywords = {martingale measure; arbitrage opportunity},
language = {eng},
number = {4},
pages = {419-436},
title = {Discrete time arbitrage under transaction costs},
url = {http://eudml.org/doc/219285},
volume = {27},
year = {2000},
}

TY - JOUR
AU - Piasecka, Joanna
TI - Discrete time arbitrage under transaction costs
JO - Applicationes Mathematicae
PY - 2000
VL - 27
IS - 4
SP - 419
EP - 436
AB - Conditions for the absence of arbitrage in discrete time markets with various kinds of transaction costs are shown.
LA - eng
KW - martingale measure; arbitrage opportunity
UR - http://eudml.org/doc/219285
ER -

References

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  1. [1] R. C. Dalang, A. Morton and W. Willinger, Equivalent martingale measures and no-arbitrage in stochastic securities market models, Stochastics Stochastics Rep. 29 (1990), 185-201. Zbl0694.90037
  2. [2] B. Girotto and F. Ortu, Existence of equivalent martingale measures in finite-dimensional securities markets, J. Econom. Theory 69 (1996), 262-277. Zbl0852.90023
  3. [3] J. M. Harrison and D. M. Kreps, Martingales and arbitrage in multiperiod securities markets, J. Econom. Theory 20 (1979), 381-408. Zbl0431.90019
  4. [4] J. M. Harrison and S. R. Pliska, % Martingales and stochastic integrals in the theory of continuous trading, Stochastic Process. Appl. 11 (1981), 215-260. Zbl0482.60097
  5. [5] E. Jouini and H. Kallal, Arbitrage in securities markets with short-sales constraints, Math. Finance 5 (1995), 197-232. Zbl0866.90032
  6. [6] E. Jouini and H. Kallal, Martingales and arbitrage in securities markets with transaction costs, J. Econom. Theory 66 (1995), 178-197. Zbl0830.90020
  7. [7] J. Kabanov and D. O. Kramkov, No arbitrage and equivalent martingale mea- sures : An elementary proof of the Harrison-Pliska theorem, Theory Probab. Appl. 39 (1994), 523-526. Zbl0834.60045
  8. [8] H. Pham and N. Touzi, The fundamental theorem of asset pricing with cone constraints, J. Math. Econom. 31 (1999), 265-279. Zbl0937.91064
  9. [9] L. C. G. Rogers, Equivalent martingale measures and no-arbitrage, Stochastics Stochastics Rep. 51 (1994), 41-49. Zbl0851.60042
  10. [10] C. Stricker, Arbitrage et lois de martingale, Ann. Inst. H. Poincaré Probab. Statist. 26 (1990), 451-460. Zbl0704.60045

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