On the stickiness property
Author:
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
http://www.tandfonline.com/doi/pdf/10.1080/14697680903341806
Reference9 articles.
1. ARBITRAGE IN FRACTAL MODULATED BLACK–SCHOLES MODELS WHEN THE VOLATILITY IS STOCHASTIC
2. No arbitrage conditions for simple trading strategies
3. Brownian moving averages have conditional full support
4. NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND
5. Consistent price systems and face-lifting pricing under transaction costs
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1. On the market viability under proportional transaction costs;Mathematical Finance;2017-08-10
2. Portfolio optimisation beyond semimartingales: Shadow prices and fractional Brownian motion;The Annals of Applied Probability;2017-06-01
3. Sticky Continuous Processes have Consistent Price Systems;Journal of Applied Probability;2015-06
4. Sticky Continuous Processes have Consistent Price Systems;Journal of Applied Probability;2015-06
5. On the Market Viability Under Proportional Transaction Costs;SSRN Electronic Journal;2013
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