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No-arbitrage pricing for dividend-paying securities in discrete-time markets with transaction costs
Bielecki, Tomasz R.; Cialenco, Igor; Rodriguez, Rodrigo - In: Mathematical finance : an international journal of … 25 (2015) 4, pp. 673-701
Persistent link: https://www.econbiz.de/10011350542
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Critical transaction costs and 1-step asymptotic arbitrage in fractional binary markets
Cordero, Fernando; Perez-Ostafe, Lavinia - In: International journal of theoretical and applied finance 18 (2015) 5, pp. 1-26
Persistent link: https://www.econbiz.de/10011403853
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Implicit transaction costs and the fundamental theorems of asset pricing
Allaj, Erindi - In: International journal of theoretical and applied finance 20 (2017) 4, pp. 1-39
Persistent link: https://www.econbiz.de/10011686967
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Binary markets under transaction costs
Cordero, Fernando; Klein, Irene; Perez-Ostafe, Lavinia - In: International journal of theoretical and applied finance 17 (2014) 5, pp. 1-27
Persistent link: https://www.econbiz.de/10010437205
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Martingales and arbitrage in securities markets with transaction costs
Jouini, Elyès; Kallal, Hédi D. - 1993
Persistent link: https://www.econbiz.de/10000908840
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Duality and arbitrage with transactions costs : theory and applications
Stutzer, Michael J. - 1989
Persistent link: https://www.econbiz.de/10000779926
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Strong asymptotic arbitrage in the large fractional binary market
Cordero, Fernando; Perez-Ostafe, Lavinia - In: Mathematics and financial economics 10 (2016) 2, pp. 179-202
Persistent link: https://www.econbiz.de/10011485902
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Geometric no-arbitrage analysis in the dynamic financial market with transaction costs
Tang, Wanxiao; Zhao, Jun; Zhao, Peibiao - In: Journal of risk and financial management : JRFM 12 (2019) 1/26, pp. 1-17
The present paper considers a class of financial market with transaction costs and constructs a geometric no-arbitrage … analysis frame. Then, this paper arrives at the fact that this financial market is of no-arbitrage if and only if the curvature … 2-form of a specific connection is zero. Furthermore, this paper derives the fact that the no-arbitrage condition for …
Persistent link: https://www.econbiz.de/10012022342
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Asymptotic arbitrage with small transaction costs
Klein, Irene; Lépinette, Emmanuel; Perez-Ostafe, Lavinia - In: Finance and stochastics 18 (2014) 4, pp. 917-939
Persistent link: https://www.econbiz.de/10010416822
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Prospective strict no-arbitrage and the fundamental theorem of asset pricing under transaction costs
Kühn, Christoph; Molitor, Alexander - In: Finance and stochastics 23 (2019) 4, pp. 1049-1077
Persistent link: https://www.econbiz.de/10012114690