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Small transaction costs, absence of arbitrage and consistent price systems

Author

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  • Julien Grépat
  • Yuri Kabanov

Abstract

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Suggested Citation

  • Julien Grépat & Yuri Kabanov, 2012. "Small transaction costs, absence of arbitrage and consistent price systems," Finance and Stochastics, Springer, vol. 16(3), pages 357-368, July.
    • Handle: RePEc:spr:finsto:v:16:y:2012:i:3:p:357-368
    DOI: 10.1007/s00780-011-0164-x
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    References listed on IDEAS

    as
    1. Luciano Campi & Walter Schachermayer, 2006. "A super-replication theorem in Kabanov’s model of transaction costs," Finance and Stochastics, Springer, vol. 10(4), pages 579-596, December.
    2. repec:dau:papers:123456789/5455 is not listed on IDEAS
    3. Paolo Guasoni & Miklós Rásonyi & Walter Schachermayer, 2010. "The fundamental theorem of asset pricing for continuous processes under small transaction costs," Annals of Finance, Springer, vol. 6(2), pages 157-191, March.
    4. Y.M. Kabanov, 1999. "Hedging and liquidation under transaction costs in currency markets," Finance and Stochastics, Springer, vol. 3(2), pages 237-248.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Bruno Bouchard & Emmanuel Lepinette & Erik Taflin, 2013. "Robust no-free lunch with vanishing risk, a continuum of assets and proportional transaction costs," Papers 1302.0361, arXiv.org.
    2. Adrien Nguyen Huu, 2011. "A note on super-hedging for investor-producers," Papers 1112.4740, arXiv.org, revised Mar 2012.

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    More about this item

    Keywords

    Transaction costs; Arbitrage; 60G44; G11; G13;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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