Asymptotic arbitrage in large financial markets with friction

DOI10.1007/s11579-012-0077-2zbMath1260.91238OpenAlexW2035360601MaRDI QIDQ1938994

Lavinia Ostafe, Emmanuel Lépinette

Publication date: 26 February 2013

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-012-0077-2

zbMATH Keywords

contiguitytransaction costsasymptotic arbitragelarge financial markethedging theorem

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Maximizing expected utility in the arbitrage pricing model ⋮ CRITICAL TRANSACTION COSTS AND 1-STEP ASYMPTOTIC ARBITRAGE IN FRACTIONAL BINARY MARKETS ⋮ Asymptotic arbitrage with small transaction costs

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Mean square error for the Leland-Lott hedging strategy: convex pay-offs
• The fundamental theorem of asset pricing under transaction costs
• A super-replication theorem in Kabanov's model of transaction costs
• Markets with transaction costs. Mathematical theory.
• Asymptotic arbitrage and large deviations
• Representation of continuous linear forms on the set of ladlag processes and the hedging of American claims under proportional costs
• A simple approach to arbitrage pricing theory
• Asymptotic arbitrage in large financial markets
• Free lunch large financial markets with continuous price processes
• Hedging of American options under transaction costs
• A Fundamental Theorem of Asset Pricing for Large Financial Markets

This page was built for publication: Asymptotic arbitrage in large financial markets with friction