Discrete Time Markets with Transaction Costs

Lukasz Stettner
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Lukasz Stettner: Institute of Mathematics, Polish Academy of Sciences, Sniadeckich 8, 00-950 Warsaw, Poland and Warsaw School of Management and Marketing (The paper supported by grant no. PBZ KBN 016 / P03 / 99.), Poland

Chapter 14 in Recent Developments in Mathematical Finance, 2001, pp 168-180 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractIn the paper various aspects of arbitrage and pricing with concave and proportional transaction costs are studied.

Keywords: Proceedings; Conference; Mathematical Finance; Shanghai (China) (search for similar items in EconPapers)
Date: 2001
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