Arbitrage in a simple model with general transaction costs
Jakub Olejnik
Applicationes Mathematicae, Tome 32 (2005), p. 177-182 / Harvested from The Polish Digital Mathematics Library
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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.

Publié le : 2005-01-01
EUDML-ID : urn:eudml:doc:279300 
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     title = {Arbitrage in a simple model with general transaction costs},
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     year = {2005},
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Jakub Olejnik. Arbitrage in a simple model with general transaction costs. Applicationes Mathematicae, Tome 32 (2005) pp. 177-182. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-am32-2-5/