Arbitrage for simple strategies

Agnieszka Rygiel, and Łukasz Stettner. "Arbitrage for simple strategies." Applicationes Mathematicae 39.4 (2012): 379-412. <http://eudml.org/doc/279902>.

@article{AgnieszkaRygiel2012,
abstract = {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.},
author = {Agnieszka Rygiel, Łukasz Stettner},
journal = {Applicationes Mathematicae},
keywords = {simple trading strategies; arbitrage; transaction costs; short-selling restrictions},
language = {eng},
number = {4},
pages = {379-412},
title = {Arbitrage for simple strategies},
url = {http://eudml.org/doc/279902},
volume = {39},
year = {2012},
}

TY - JOUR
AU - Agnieszka Rygiel
AU - Łukasz Stettner
TI - Arbitrage for simple strategies
JO - Applicationes Mathematicae
PY - 2012
VL - 39
IS - 4
SP - 379
EP - 412
AB - 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.
LA - eng
KW - simple trading strategies; arbitrage; transaction costs; short-selling restrictions
UR - http://eudml.org/doc/279902
ER -