Arbitrage in a simple model with general transaction costs
Volume 32 / 2005
Applicationes Mathematicae 32 (2005), 177-182 MSC: 91B28, 91B70. DOI: 10.4064/am32-2-5
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.