Asymptotic arbitrage with small transaction costs

DOI10.1007/s00780-014-0242-yzbMath1309.60042OpenAlexW1964459921MaRDI QIDQ2255014

Lavinia Perez-Ostafe, Irene Klein, Emmanuel Lépinette

Publication date: 6 February 2015

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-014-0242-y

zbMATH Keywords

Black-Scholes modeltransaction costslocal martingalesasymptotic arbitragefinancial marketcàdlàg pathsconsistent price system

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Microeconomic theory (price theory and economic markets) (91B24) Martingales with continuous parameter (60G44)

Related Items (7)

CRITICAL TRANSACTION COSTS AND 1-STEP ASYMPTOTIC ARBITRAGE IN FRACTIONAL BINARY MARKETS ⋮ Optimal investment and consumption with labor income in incomplete markets ⋮ Large Financial Markets, Discounting, and No Asymptotic Arbitrage ⋮ UTILITY MAXIMIZATION IN A LARGE MARKET ⋮ Optimal investment with intermediate consumption under no unbounded profit with bounded risk ⋮ Short Communication: A Note on Utility Maximization with Proportional Transaction Costs and Stability of Optimal Portfolios ⋮ Strong asymptotic arbitrage in the large fractional binary market

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