2013
DOI: 10.2139/ssrn.2560176
|View full text |Cite
|
Sign up to set email alerts
|

Asymptotic Arbitrage with Small Transaction Costs

Help me understand this report

Search citation statements

Order By: Relevance

Paper Sections

Select...
1
1

Citation Types

0
2
0

Year Published

2015
2015
2015
2015

Publication Types

Select...
1

Relationship

0
1

Authors

Journals

citations
Cited by 1 publication
(2 citation statements)
references
References 34 publications
0
2
0
Order By: Relevance
“…We recall now their definitions. For a detailed presentation we refer the reader to [11], [12] and [9] for the frictionless case and to [10] for markets with friction. Consider a sequence of markets {S N } N ≥1 , where…”
Section: Asymptotic Arbitrage Under Transaction Costsmentioning
confidence: 99%
See 1 more Smart Citation
“…We recall now their definitions. For a detailed presentation we refer the reader to [11], [12] and [9] for the frictionless case and to [10] for markets with friction. Consider a sequence of markets {S N } N ≥1 , where…”
Section: Asymptotic Arbitrage Under Transaction Costsmentioning
confidence: 99%
“…In the latter case, the notion of arbitrage is replaced by the concept of "asymptotic arbitrage", which was introduced by Kabanov and Kramkov in [8] and [9] and further studied in [11] and [12] for frictionless markets and in [13] and [10] for the case of transaction costs.…”
Section: Introductionmentioning
confidence: 99%