A note on arbitrage under transaction costs
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References listed on IDEAS
- Paolo Guasoni, 2006. "No Arbitrage Under Transaction Costs, With Fractional Brownian Motion And Beyond," Mathematical Finance, Wiley Blackwell, vol. 16(3), pages 569-582, July.
- Klüppelberg, Claudia & Kühn, Christoph, 2004. "Fractional Brownian motion as a weak limit of Poisson shot noise processes--with applications to finance," Stochastic Processes and their Applications, Elsevier, vol. 113(2), pages 333-351, October.
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More about this item
Keywords
Arbitrage; transaction costs; fractional Brownian motion;All these keywords.
JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
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