Geodesic
Discrete time arbitrage under transaction costs
Applicationes Mathematicae, Tome 27 (2000) no. 4, pp. 419-436

Voir la notice de l'article provenant de la source Institute of Mathematics Polish Academy of Sciences

Conditions for the absence of arbitrage in discrete time markets with various kinds of transaction costs are shown.
DOI : 10.4064/am-27-4-419-436
Keywords: martingale measure, arbitrage opportunity

Joanna Piasecka 1

1 
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Joanna Piasecka. Discrete time arbitrage under transaction costs. Applicationes Mathematicae, Tome 27 (2000) no. 4, pp. 419-436. doi: 10.4064/am-27-4-419-436

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