Small transaction costs, absence of arbitrage and consistent price systems
type: Item
instance of: scholarly article
title: Small transaction costs, absence of arbitrage and consistent price systems
zbMATH Open document ID: 1261.91043
author: Julien Grépat
author: Yuri Kabanov
published in: Finance and Stochastics
publication date: 2012-11-15T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91B24
Mathematics Subject Classification ID: 91B25
zbMATH DE Number: 6106811
zbMATH Keywords: transaction costs
zbMATH Keywords: arbitrage
MaRDI profile type: Publication
full work available at URL: s00780-011-0164-x
OpenAlex ID: W2053048501
cites work: A super-replication theorem in Kabanov's model of transaction costs
cites work: The fundamental theorem of asset pricing for continuous processes under small transaction costs
cites work: Hedging and liquidation under transaction costs in currency markets
cites work: Markets with transaction costs. Mathematical theory.
cites work: The Harrison-Pliska arbitrage pricing theorem under transaction costs
cites work: On the closedness of sums of convex cones in \(L^0\) and the robust no-arbitrage property
DOI: 10.1007/S00780-011-0164-X
description: scientific article; zbMATH DE number 6106811