Geodesic
Arbitrage in markets without shortselling with proportional transaction costs
Przemysław Rola1
1Institute of Mathematics Jagiellonian University 30-348 Kraków, Poland
Applicationes Mathematicae, Tome 40 (2013) no. 3, pp. 281-295
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We consider markets with proportional transaction costs and shortsale restrictions. We give necessary and sufficient conditions for the absence of arbitrage and also estimate the super-replication price.
DOI : 10.4064/am40-3-2
Keywords: consider markets proportional transaction costs shortsale restrictions necessary sufficient conditions absence arbitrage estimate super replication price

Przemysław Rola  1

1 Institute of Mathematics Jagiellonian University 30-348 Kraków, Poland 
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Przemysław Rola. Arbitrage in markets without shortselling with proportional transaction costs. Applicationes Mathematicae, Tome 40 (2013) no. 3, pp. 281-295. doi: 10.4064/am40-3-2

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