Arbitrage in markets without shortselling with proportional transaction costs
Przemysław Rola
Applicationes Mathematicae, Tome 40 (2013), p. 281-295 / Harvested from The Polish Digital Mathematics Library
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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.

Publié le : 2013-01-01
EUDML-ID : urn:eudml:doc:279989 
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     year = {2013},
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Przemysław Rola. Arbitrage in markets without shortselling with proportional transaction costs. Applicationes Mathematicae, Tome 40 (2013) pp. 281-295. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-am40-3-2/