Geometric no-arbitrage analysis in the dynamic financial market with transaction costs
| Autor: | Wanxiao Tang, Peibiao Zhao, Jun Zhao |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2019 |
| Předmět: |
Computer Science::Computer Science and Game Theory
lcsh:Risk in industry. Risk management Mathematics::Optimization and Control Curvature geometric no-arbitrage Mathematics::Probability Computer Science::Computational Engineering Finance and Science 0502 economics and business lcsh:Finance lcsh:HG1-9999 Economics ddc:330 Equivalence (measure theory) Expected utility hypothesis Transaction cost 050208 finance Statistics::Applications 05 social sciences Financial market Maximization lcsh:HD61 bid-ask spread Bid–ask spread transaction cost bid–ask spread Arbitrage Mathematical economics 050203 business & management |
| Zdroj: | Journal of Risk and Financial Management Volume 12 Issue 1 Journal of Risk and Financial Management, Vol 12, Iss 1, p 26 (2019) |
| Popis: | The present paper considers a class of financial market with transaction costs and constructs a geometric no-arbitrage analysis frame. Then, this paper arrives at the fact that this financial market is of no-arbitrage if and only if the curvature 2-form of a specific connection is zero. Furthermore, this paper derives the fact that the no-arbitrage condition for the one-period financial market is equivalent to the geometric no-arbitrage condition. Finally, an example states the equivalence between the geometric no-arbitrage condition and the existence of the solutions for a maximization problem of expected utility. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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