Small transaction costs, absence of arbitrage and consistent price systems |
| |
| Authors: | Julien Grépat Yuri Kabanov |
| |
| Institution: | 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
|
| |
| 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. |
| |
| Keywords: | |
| 本文献已被 SpringerLink 等数据库收录！ |
|
