A+ CATEGORY SCIENTIFIC UNIT

Arbitrage in a simple model with general transaction costs

Volume 32 / 2005

Jakub Olejnik Applicationes Mathematicae 32 (2005), 177-182 MSC: 91B28, 91B70. DOI: 10.4064/am32-2-5

Abstract

We study a version of no arbitrage condition in a simple model with general transaction costs. Our condition is equivalent to the existence of an equivalent martingale measure.

Authors

  • Jakub OlejnikDepartment of Mathematics
    University of /Lódź
    Banacha 22
    90-238 /Lódź, Poland
    e-mail

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