Publication
Sep 2008
This paper tries to show how the usual model of a frictionless market can be extended in a way that processes that are not semimartingales become compatible with the absence of arbitrage. According to the authors, a promising approach is to include transaction costs in the model that would reduce the wealth of an investor resulting from a given trading strategy.
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English (PDF, 9 pages, 198 KB) |
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Author | Albrecht Irle, Claas Prelle |
Series | Kiel Institute Working Papers |
Issue | 1450 |
Publisher | Kiel Institute for the World Economy |
Copyright | © 2008 Kiel Institute for the World Economy |