Arbitrage Theory under Transaction Costs

Yuri Kabanov () and Mher Safarian ()
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Yuri Kabanov: Univerisité de Franche-Comté
Mher Safarian: Landesbank Baden-Württemberg (LBBW)

Chapter 3 in Markets with Transaction Costs, 2009, pp 105-182 from Springer

Abstract: Abstract We describe here a financial framework leading to a “standard” discrete-time model with proportional transaction costs with complete information.

Keywords: Transaction Cost; Price Process; American Option; Contingent Claim; Initial Endowment (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-3-540-68121-2_3

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DOI: 10.1007/978-3-540-68121-2_3

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