Arbitrage in markets without shortselling with proportional transaction costs
Applicationes Mathematicae (2013)
- Volume: 40, Issue: 3, page 281-295
- ISSN: 1233-7234
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topPrzemysław Rola. "Arbitrage in markets without shortselling with proportional transaction costs." Applicationes Mathematicae 40.3 (2013): 281-295. <http://eudml.org/doc/279989>.
@article{PrzemysławRola2013,
abstract = {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.},
author = {Przemysław Rola},
journal = {Applicationes Mathematicae},
keywords = {arbitrage; proportional transaction costs; shortselling; superreplication price},
language = {eng},
number = {3},
pages = {281-295},
title = {Arbitrage in markets without shortselling with proportional transaction costs},
url = {http://eudml.org/doc/279989},
volume = {40},
year = {2013},
}
TY - JOUR
AU - Przemysław Rola
TI - Arbitrage in markets without shortselling with proportional transaction costs
JO - Applicationes Mathematicae
PY - 2013
VL - 40
IS - 3
SP - 281
EP - 295
AB - 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.
LA - eng
KW - arbitrage; proportional transaction costs; shortselling; superreplication price
UR - http://eudml.org/doc/279989
ER -
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