Geodesic
Arbitrage for simple strategies
Agnieszka Rygiel 1   ; Łukasz Stettner 2
1 Higher Vocational School in Tarnow 33-100 Tarnów, Poland
2 Institute of Mathematics Polish Academy of Sciences 00-956 Warszawa, Poland
Applicationes Mathematicae, Tome 39 (2012) no. 4, pp. 379-412 Cet article a éte moissonné depuis la source Institute of Mathematics Polish Academy of Sciences

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Various aspects of arbitrage on finite horizon continuous time markets using simple strategies consisting of a finite number of transactions are studied. Special attention is devoted to transactions without shortselling, in which we are not allowed to borrow assets. The markets without or with proportional transaction costs are considered. Necessary and sufficient conditions for absence of arbitrage are shown.
DOI : 10.4064/am39-4-1
Keywords: various aspects arbitrage finite horizon continuous time markets using simple strategies consisting finite number transactions studied special attention devoted transactions without shortselling which allowed borrow assets markets without proportional transaction costs considered necessary sufficient conditions absence arbitrage shown

Agnieszka Rygiel  1   ; Łukasz Stettner  2

1 Higher Vocational School in Tarnow 33-100 Tarnów, Poland
2 Institute of Mathematics Polish Academy of Sciences 00-956 Warszawa, Poland 
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Agnieszka Rygiel; Łukasz Stettner. Arbitrage for simple strategies. Applicationes Mathematicae, Tome 39 (2012) no. 4, pp. 379-412. doi: 10.4064/am39-4-1

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