Arbitrage in markets without shortselling with proportional transaction costs

DOI10.4064/AM40-3-2zbMath1285.91150OpenAlexW2312699063MaRDI QIDQ2866793

Przemysław Rola

Publication date: 16 December 2013

Published in: Applicationes Mathematicae (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4064/am40-3-2

zbMATH Keywords

arbitrageproportional transaction costssuperreplication priceshortselling

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Microeconomic theory (price theory and economic markets) (91B24) Financial applications of other theories (91G80)

Related Items (1)

Arbitrage in markets with bid-ask spreads. The fundamental theorem of asset pricing in finite discrete time markets with bid-ask spreads and a money account

This page was built for publication: Arbitrage in markets without shortselling with proportional transaction costs