Arbitrage for simple strategies

Volume 39 / 2012

Agnieszka Rygiel, Łukasz Stettner Applicationes Mathematicae 39 (2012), 379-412 MSC: Primary 91G10; Secondary 60G99, 91B26. DOI: 10.4064/am39-4-1


Various aspects of arbitrage on finite horizon continuous time markets using simple strategies consisting of a finite number of transactions are studied. Special attention is devoted to transactions without shortselling, in which we are not allowed to borrow assets. The markets without or with proportional transaction costs are considered. Necessary and sufficient conditions for absence of arbitrage are shown.


  • Agnieszka RygielHigher Vocational School in Tarnow
    33-100 Tarnów, Poland
  • Łukasz StettnerInstitute of Mathematics
    Polish Academy of Sciences
    00-956 Warszawa, Poland

Search for IMPAN publications

Query phrase too short. Type at least 4 characters.

Rewrite code from the image

Reload image

Reload image