FS
2006
13 years 11 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
14 years 5 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...