Arbitrage-free models in markets with transaction costs

DOI10.1214/ECP.v16-1671zbMath1247.91173MaRDI QIDQ428693

Hasanjan Sayit, Frederi G. Viens

Publication date: 22 June 2012

Published in: Electronic Communications in Probability (Search for Journal in Brave)

zbMATH Keywords

fractional Brownian motionfinancial marketsarbitragetransaction costtime-changesticky process

Mathematics Subject Classification ID

Related Items (5)

Sticky Continuous Processes have Consistent Price Systems ⋮ Sticky processes, local and true martingales ⋮ Consistent price systems in multiasset markets ⋮ Absence of arbitrage in a general framework ⋮ No arbitrage and lead-lag relationships

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