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Teoriya Veroyatnostei i ee Primeneniya, 2007, Volume 52, Issue 1, Pages 41–59
DOI: https://doi.org/10.4213/tvp3 (Mi tvp3) 		 
This article is cited in 8 scientific papers (total in 8 papers)

Constructive no-arbitrage criterion under transaction costs in the case of finite discrete time

D. B. Rokhlin

Rostov State University
Full-text PDF (1677 kB) Citations (8)
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DOI: https://doi.org/10.4213/tvp3
Abstract: We obtain a constructive criterion for robust no-arbitrage in discrete-time market models with transaction costs. This criterion is expressed in terms of the supports of the regular conditional upper distributions of the solvency cones. We also consider the model with a bank account. A method for construction of arbitrage strategies is proposed.
Keywords: robust no-arbitrage, transaction costs, arbitrage portfolios, measurable set-valued maps, supports of the regular conditional distributions.
Received: 15.11.2005
Revised: 08.02.2006
English version:
Theory of Probability and its Applications, 2008, Volume 52, Issue 1, Pages 93–107
DOI: https://doi.org/10.1137/S0040585X97982803
Bibliographic databases:
Language: Russian
Citation: D. B. Rokhlin, “Constructive no-arbitrage criterion under transaction costs in the case of finite discrete time”, Teor. Veroyatnost. i Primenen., 52:1 (2007), 41–59; Theory Probab. Appl., 52:1 (2008), 93–107
Citation in format AMSBIB
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    • This publication is cited in the following 8 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    		Теория вероятностей и ее применения Theory of Probability and its Applications
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