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On componentwise and vector stochastic integration
Chatelain, Michel - In: Mathematical finance : an international journal of … 4 (1994) 1, pp. 57-65
Persistent link: https://www.econbiz.de/10001185115
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Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs
Denis, Emmanuel; Kabanov, Yuri - In: Finance and Stochastics 16 (2012) 1, pp. 135-154
Persistent link: https://www.econbiz.de/10009400205
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Consistent Price Systems and Arbitrage Opportunities of the Second Kind in Models with Transaction Costs
Lépinette-Denis, Emmanuel; Kabanov, Yuri - Université Paris-Dauphine (Paris IX) - 2012
In contrast with the classical models of frictionless financial markets, market models with proportional transaction costs, even satisfying usual no-arbitrage properties, may admit arbitrage opportunities of the second kind. This means that there are self-financing portfolios with initial...
Persistent link: https://www.econbiz.de/10011073059
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Consistent Price Systems and Arbitrage Opportunities of the Second Kind in Models with Transaction Costs.
Lépinette-Denis, Emmanuel; Kabanov, Yuri - Université Paris-Dauphine - 2012
In contrast with the classical models of frictionless financial markets, market models with proportional transaction costs, even satisfying usual no-arbitrage properties, may admit arbitrage opportunities of the second kind. This means that there are self-financing portfolios with initial...
Persistent link: https://www.econbiz.de/10008460930