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.
@article{bwmeta1.element.bwnjournal-article-doi-10_4064-am39-4-1,
author = {Agnieszka Rygiel and \L ukasz Stettner},
title = {Arbitrage for simple strategies},
journal = {Applicationes Mathematicae},
volume = {39},
year = {2012},
pages = {379-412},
zbl = {1261.91044},
language = {en},
url = {http://dml.mathdoc.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-am39-4-1}
}
Agnieszka Rygiel; Łukasz Stettner. Arbitrage for simple strategies. Applicationes Mathematicae, Tome 39 (2012) pp. 379-412. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-am39-4-1/