Ostafe, Lavinia; Lépinette-Denis, Emmanuel; Klein, Irene - Université Paris-Dauphine (Paris IX) - 2014
We give characterizations of asymptotic arbitrage of the first and second kind and of strong asymptotic arbitrage for a … nonnegative local martingales. Moreover, we study examples of models which admit a strong asymptotic arbitrage without transaction … costs, but with transaction costs λ n >0 on market n; there does not exist any form of asymptotic arbitrage. In one case, (λ …