Arbitrage in markets without shortselling with proportional transaction costs
Volume 40 / 2013
Applicationes Mathematicae 40 (2013), 281-295
MSC: Primary 91G80; Secondary 91B24, 91B25, 91B26, 60G42.
DOI: 10.4064/am40-3-2
Abstract
We consider markets with proportional transaction costs and shortsale restrictions. We give necessary and sufficient conditions for the absence of arbitrage and also estimate the super-replication price.
