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pro vyhledávání: '"Julien Grépat"'
Autor:
Julien Grépat, Yuri Kabanov
Publikováno v:
Finance and Stochastics. 25:167-187
We consider, using the geometric description, a sequence of models of multi-asset financial markets with proportional transaction costs vanishing in the limit. We assume that the price processes are He-type multinomial approximations of a process who
Autor:
Julien Grépat, Yuri Kabanov
Publikováno v:
Finance and Stochastics. 16:357-368
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.