Robust No Arbitrage of the Second Kind with a Continuum of Assets and Proportional Transaction Costs

DOI10.1137/14099752XzbMath1368.91184OpenAlexW3122104379MaRDI QIDQ2797754

Emmanuel Lépinette

Publication date: 31 March 2016

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/14099752x

zbMATH Keywords

proportional transaction costsbond marketsarbitrage opportunities of the second kind

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Martingales with continuous parameter (60G44) Actuarial science and mathematical finance (91G99)

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