Abstract
We present a novel arbitrage-related notion for markets with transaction costs in discrete time and characterize it in terms of price systems. Pertinence of this concept is demonstrated. A discussion of the case with one risky asset and an outlook on continuous-time models complement the main result.
The support received from Hungarian National Science Foundation (OTKA) under grant F 049094, from Austrian Science Foundation (FWF) under grant P 19456 and from Vienna Science and Technology Fund (WWTF) under grant MA 13 is gratefully acknowledged. The author thanks P. Grigoriev, D. Rokhlin and W. Schachermayer for helpful discussions and an anonymous referee for an insightful report.
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Rásonyi, M. (2009). Arbitrage Under Transaction Costs Revisited. In: Optimality and Risk - Modern Trends in Mathematical Finance. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-02608-9_11
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DOI: https://doi.org/10.1007/978-3-642-02608-9_11
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