Computation of arbitrage in frictional bond markets

DOI10.1016/j.tcs.2006.07.014zbMath1104.91025OpenAlexW2021663756MaRDI QIDQ860869

Xiaotie Deng, Mao-cheng Cai, Zhong-Fei Li

Publication date: 9 January 2007

Published in: Theoretical Computer Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.tcs.2006.07.014

zbMATH Keywords

computational complexityNP-hardweak no-arbitrage

Mathematics Subject Classification ID

Cites Work

• Martingales and arbitrage in multiperiod securities markets
• Arbitrage and equilibrium in economies with infinitely many commodities
• Martingales and stochastic integrals in the theory of continuous trading
• Martingales and arbitage in securities markets with transaction costs
• COMPUTATIONAL COMPLEXITY OF ARBITRAGE IN FRICTIONAL SECURITY MARKET
• Dynamic Arbitrage-Free Asset Pricing with Proportional Transaction Costs
• Algorithms – ESA 2004
• Arbitrage and viability in securities markets with fixed trading costs
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