Leitura do Dia - NO ARBITRAGE UNDER TRANSACTION COSTS,

NO ARBITRAGE UNDER TRANSACTION COSTS,
WITH FRACTIONAL BROWNIAN MOTION AND BEYOND
PAOLO GUASONI
BOSTON UNIVERSITY AND UNIVERSITY OF PISA
GUASONI@BU.EDU
ABSTRACT. We establish a simple no-arbitrage criterion which reduces the absence of arbitrage opportunities under proportional transaction costs to the condition that the asset price process may have arbitrarily little over arbitrarily large time intervals.
We show that this criterion is satisfied when the return process is either a Strong Markov process with regular points, or a continuous process supported on all continuous functions. In particular, we prove that proportional transaction costs of any positive size eliminate arbitrage opportunities from Geometric Fractional Brownian Motion for H 2 (0; 1) and with an arbitrary continuous deterministic drift.


Nota - atualmente os artigos mais importantes em finanças estão sendo publicados em revistas de matemática, probabilidade e processos estocásticos. Apenas para dar suporte ao meu post anterior sobre matemática em economia e finanças.