Small transaction costs, absence of arbitrage and consistent price systems |
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| Authors: | Julien Grépat Yuri Kabanov |
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| Affiliation: | 2. Laboratoire de Math??matiques, Universit?? de Franche-Comt??, 16 Route de Gray, 25030, Besan?on cedex, France
1. Central Economics and Mathematics Institute, Moscow, Russia
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| Abstract: | The aim of this note is to establish a criterion of absence of arbitrage opportunities under small transaction costs for a family of multi-asset models of financial markets. |
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