No arbitrage conditions for simple trading strategies

DOI10.1007/s10436-009-0120-3zbMath1233.91303arXiv0801.4047OpenAlexW1988703628MaRDI QIDQ666439

Hasanjan Sayit, Erhan Bayraktar

Publication date: 8 March 2012

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0801.4047

zbMATH Keywords

arbitragesimple trading strategiesshortsales restrictionsticky processes

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Corporate finance (dividends, real options, etc.) (91G50)

Related Items (7)

No-arbitrage conditions and pricing from discrete-time to continuous-time strategies ⋮ Remarks on simple arbitrage on markets with bid and ask prices ⋮ Absence of arbitrage in a general framework ⋮ No arbitrage conditions for simple trading strategies ⋮ Simple arbitrage ⋮ On the semimartingale property of discounted asset-price processes ⋮ On the stickiness property

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