Arbitrage in markets without shortselling with proportional transaction costs

Volume 40 / 2013

Przemysław Rola Applicationes Mathematicae 40 (2013), 281-295 MSC: Primary 91G80; Secondary 91B24, 91B25, 91B26, 60G42. DOI: 10.4064/am40-3-2

Abstract

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.

Authors

  • Przemysław RolaInstitute of Mathematics
    Jagiellonian University
    30-348 Kraków, Poland
    e-mail

Search for IMPAN publications

Query phrase too short. Type at least 4 characters.

Rewrite code from the image

Reload image

Reload image