Similar Search Results

The fundamental theorem of asset pricing for continuous processes under small transaction costs

Guasoni, Paolo; Rásonyi, Miklós; Schachermayer, Walter - In: Annals of finance 6 (2010) 2, pp. 157-191

Persistent link: https://www.econbiz.de/10003941214

A super-martingale property of the optimal portfolio process

Schachermayer, Walter - In: Finance and stochastics 7 (2003) 4, pp. 433-456

Persistent link: https://www.econbiz.de/10001800676

Fragility of arbitrage and bubbles in local martingale diffusion models

Guasoni, Paolo; Rásonyi, Miklós - In: Finance and stochastics 19 (2015) 2, pp. 215-231

Persistent link: https://www.econbiz.de/10011417713

Fragility of Local Martingale Diffusion Models of Arbitrage and Bubbles

Guasoni, Paolo; Rasonyi, Miklos - 2014

For any positive diffusion with minimal regularity, there exists a semimartingale, with uniformly close paths, which is a martingale under an equivalent probability. As a result, in models of asset prices based on such diffusions, arbitrage and bubbles alike disappear under proportional...

Persistent link: https://www.econbiz.de/10014043330