Critical transaction costs and 1-step asymptotic arbitrage in fractional binary markets
Fernando Cordero; Lavinia Perez-Ostafe
| Year of publication: |
2015
|
|---|---|
| Authors: | Cordero, Fernando ; Perez-Ostafe, Lavinia |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 18.2015, 5, p. 1-26
|
| Subject: | Fractional Brownian motion | fractional binary markets | transaction costs | arbitrage | Transaktionskosten | Transaction costs | Theorie | Theory | Arbitrage | Stochastischer Prozess | Stochastic process | Arbitrage Pricing | Arbitrage pricing | Marktmechanismus | Market mechanism |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011403853