Geodesic
Arbitrage in markets without shortselling with proportional transaction costs
Przemysław Rola1
1 Institute of Mathematics Jagiellonian University 30-348 Kraków, Poland
Applicationes Mathematicae, Tome 40 (2013) no. 3, pp. 281-295.

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

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 
@article{10_4064_am40_3_2,
     author = {Przemys{\l}aw Rola},
     title = {Arbitrage in markets without shortselling with proportional transaction costs},
     journal = {Applicationes Mathematicae},
     pages = {281--295},
     publisher = {mathdoc},
     volume = {40},
     number = {3},
     year = {2013},
     doi = {10.4064/am40-3-2},
     zbl = {1285.91150},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.4064/am40-3-2/}
}
TY  - JOUR
AU  - Przemysław Rola
TI  - Arbitrage in markets without shortselling with proportional transaction costs
JO  - Applicationes Mathematicae
PY  - 2013
SP  - 281
EP  - 295
VL  - 40
IS  - 3
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/articles/10.4064/am40-3-2/
DO  - 10.4064/am40-3-2
LA  - en
ID  - 10_4064_am40_3_2
ER  - 
%0 Journal Article
%A Przemysław Rola
%T Arbitrage in markets without shortselling with proportional transaction costs
%J Applicationes Mathematicae
%D 2013
%P 281-295
%V 40
%N 3
%I mathdoc
%U http://geodesic.mathdoc.fr/articles/10.4064/am40-3-2/
%R 10.4064/am40-3-2
%G en
%F 10_4064_am40_3_2
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. http://geodesic.mathdoc.fr/articles/10.4064/am40-3-2/

Cité par Sources :