FS
2006
13 years 4 months ago
2006
We prove a general version of the super-replication theorem, which applies to Kabanov's model of foreign exchange markets under proportional transaction costs. The market is ...
AAIM
2005
Springer
13 years 10 months ago
2005
Springer
Abstract. In this paper we study the computational problem of arbitrage in a frictional market with a finite number of bonds and finite and discrete times to maturity. Types of f...