New methods in the arbitrage theory of financial markets with transaction costs

被引：0

作者：

Rasonyi, Miklos ^{[1
]}

机构：

[1] Hungarian Acad Sci, Inst Comp & Automat, H-1518 Budapest, Hungary

来源：

SEMINAIRE DE PROBABILITES XLI | 2008年 / 1934卷

关键词：

D O I：

暂无

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

Using entirely new methods, we reprove the main result of [6]: strict absence of arbitrage is equivalent to the existence of a strictly consistent price system in markets with efficient proportional transaction costs in finite discrete time. We also improve on that result by considering a more general class of models.

引用

页码：455 / 462

页数：8

共 50 条

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