Arbitrage in a simple model with general transaction costs
Applicationes Mathematicae (2005)
- Volume: 32, Issue: 2, page 177-182
- ISSN: 1233-7234
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topJakub Olejnik. "Arbitrage in a simple model with general transaction costs." Applicationes Mathematicae 32.2 (2005): 177-182. <http://eudml.org/doc/279300>.
@article{JakubOlejnik2005,
abstract = {We study a version of no arbitrage condition in a simple model with general transaction costs. Our condition is equivalent to the existence of an equivalent martingale measure.},
author = {Jakub Olejnik},
journal = {Applicationes Mathematicae},
keywords = {martingale measures},
language = {eng},
number = {2},
pages = {177-182},
title = {Arbitrage in a simple model with general transaction costs},
url = {http://eudml.org/doc/279300},
volume = {32},
year = {2005},
}
TY - JOUR
AU - Jakub Olejnik
TI - Arbitrage in a simple model with general transaction costs
JO - Applicationes Mathematicae
PY - 2005
VL - 32
IS - 2
SP - 177
EP - 182
AB - We study a version of no arbitrage condition in a simple model with general transaction costs. Our condition is equivalent to the existence of an equivalent martingale measure.
LA - eng
KW - martingale measures
UR - http://eudml.org/doc/279300
ER -
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