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q-fin.PR2008
No Arbitrage Conditions For Simple Trading Strategies
Erhan Bayraktar, Hasanjan Sayit
Strict local martingales may admit arbitrage opportunities with respect to the class of simple trading strategies. (Since there is no possibility of using doubling strategies in th…
q-fin.PR2008
On the Stickiness Property
Erhan Bayraktar, Hasanjan Sayit
In [2] the notion of stickiness for stochastic processes was introduced. It was also shown that stickiness implies absense of arbitrage in a market with proportional transaction co…