Constructive no-arbitrage criterion under transaction costs in the case of finite discrete time

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dc.creatorRokhlin, Dmitry B.
dc.date2006-03-13
dc.date.accessioned2026-07-07T12:11:16Z
dc.date.available2026-07-07T12:11:16Z
dc.descriptionWe obtain a constructive criterion for robust no-arbitrage in discrete-time market models with transaction costs. This criterion is expressed in terms of the supports of the regular conditional upper distributions of the solvency cones. We also consider the model with a bank account. A method for construction of arbitrage strategies is proposed.
dc.description18 pages, 1 fig
dc.identifierhttps://arxiv.org/abs/math/0603284
dc.identifierhttp://arxiv.org/abs/math/0603284
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/210169
dc.subjectProbability
dc.subjectComputational Finance
dc.subject60G42; 91B24
dc.titleConstructive no-arbitrage criterion under transaction costs in the case of finite discrete time
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