Discrete time arbitrage under transaction costs

Volume 27 / 2000

Joanna Piasecka Applicationes Mathematicae 27 (2000), 419-436 DOI: 10.4064/am-27-4-419-436

Abstract

Conditions for the absence of arbitrage in discrete time markets with various kinds of transaction costs are shown.

Authors

  • Joanna Piasecka

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