Arbitrage for simple strategies
Volume 39 / 2012
Applicationes Mathematicae 39 (2012), 379-412
MSC: Primary 91G10; Secondary 60G99, 91B26.
DOI: 10.4064/am39-4-1
Abstract
Various aspects of arbitrage on finite horizon continuous time markets using simple strategies consisting of a finite number of transactions are studied. Special attention is devoted to transactions without shortselling, in which we are not allowed to borrow assets. The markets without or with proportional transaction costs are considered. Necessary and sufficient conditions for absence of arbitrage are shown.
