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A note on arbitrage under transaction costs
Irle, Albrecht; Prelle, Claas - 2008
Guasoni (2006) introduced a simple condition for the absence of arbitrage opportunities. In this note we show that his … results remain valid under a weaker notion of arbitrage which arises by excluding liquidation costs from the value process of …
Persistent link: https://www.econbiz.de/10010274720
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A note on arbitrage under transaction costs
Irle, Albrecht (contributor); Prelle, Claas (contributor) - 2008
Guasoni (2006) introduced a simple condition for the absence of arbitrage opportunities. In this note we show that his … results remain valid under a weaker notion of arbitrage which arises by excluding liquidation costs from the value process of … a portfolio. -- Arbitrage ; transaction costs ; fractional Brownian motion …
Persistent link: https://www.econbiz.de/10003757575
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A discrete stochastic model for investment with an application to the transaction costs case
Carassus, Laurence; Jouini, Elyès - Université Paris-Dauphine (Paris IX) - 2000
. In such a model, we prove that the absence of arbitrage condition implies the existence of a discount rate and a …
Persistent link: https://www.econbiz.de/10010707780
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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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A note on Wick products and the fractional Black-Scholes model
Björk, Tomas; Hult, Henrik - 2005
, and proofs has been presented that these fractional Black-Scholes models are free of arbitrage. These results on absence … of arbitrage complelety contradict a number of earlier results in the literature which prove that the fractional Black …-Scholes model (and related models) will in fact admit arbitrage. The object of the present paper is to resolve this contradiction by …
Persistent link: https://www.econbiz.de/10010281205
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A Note on Wick Products and the Fractional Black-Scholes Model
Björk, Tomas; Hult, Henrik - Economics Institute for Research (SIR), … - 2005
, and proofs has been presented that these fractional Black-Scholes models are free of arbitrage. These results on absence … of arbitrage complelety contradict a number of earlier results in the literature which prove that the fractional Black …-Scholes model (and related models) will in fact admit arbitrage. <p> The object of the present paper is to resolve this …
Persistent link: https://www.econbiz.de/10005649515
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On the extent of arbitrage constraints within transaction algebras
Apreda, Rodolfo - 2003
Although the standard trading arbitrage model provides with simple settings and adjustment mechanisms so as to take … profit whenever an arbitrage opportunity comes up, empirical evidence has been piling up showing that this point of view … standard financial arbitrage model from being functional to real markets environments. To overcome such drawbacks, this paper …
Persistent link: https://www.econbiz.de/10010323192
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Sticky continuous processes have consistent price systems
Bender, Christian; Pakkanen, Mikko S.; Sayit, Hasanjan - School of Economics and Management, University of Aarhus - 2013
Under proportional transaction costs, a price process is said to have a consistent price system, if there is a semimartingale with an equivalent martingale measure that evolves within the bid-ask spread. We show that a continuous, multi-asset price process has a consistent price system, under...
Persistent link: https://www.econbiz.de/10010851256
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On the Extent of Arbitrage Constraints within Transaction Algebras (A non-standard approach).
Apreda, Rodolfo - Universidad del CEMA - 2003
Although the standard trading arbitrage model provides with simple settings and adjustment mechanisms so as to take … profit whenever an arbitrage opportunity comes up, empirical evidence has been piling up showing that this point of view … standard financial arbitrage model from being functional to real markets environments. To overcome such drawbacks, this paper …
Persistent link: https://www.econbiz.de/10005668785
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Fractional Brownian motion, random walks and binary market models
Sottinen, Tommi - In: Finance and Stochastics 5 (2001) 3, pp. 343-355
. We show that there exist arbitrage opportunities in this model. One such opportunity is constructed explicitly. …
Persistent link: https://www.econbiz.de/10005184373