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英文标题：
《Admissible Trading Strategies under Transaction Costs》
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作者：
Walter Schachermayer
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最新提交年份：
2014
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英文摘要：
A well known result in stochastic analysis reads as follows: for an $\\mathbb{R}$-valued super-martingale $X = (X_t)_{0\\leq t \\leq T}$ such that the terminal value $X_T$ is non-negative, we have that the entire process $X$ is non-negative. An analogous result holds true in the no arbitrage theory of mathematical finance: under the assumption of no arbitrage, a portfolio process $x+(H\\cdot S)$ verifying $x+(H\\cdot S)_T\\geq 0$ also satisfies $x+(H\\cdot S)_t\\geq 0,$ for all $0 \\leq t \\leq T$. In the present paper we derive an analogous result in the presence of transaction costs. A counter-example reveals that the consideration of transaction costs makes things more delicate than in the frictionless setting.
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中文摘要：
随机分析中一个众所周知的结果如下：对于$\\mathbb{R}$值的超鞅$X=（X_t）{0\\leq t\\leq t}$，使得终值$X_t$是非负的，我们得到了整个过程$X$是非负的。在数学金融学的无套利理论中，一个类似的结果也成立：在无套利假设下，一个投资组合过程$x+（H\\cdot S）$x+（H\\cdot S）\\U T\\geq 0$也满足$x+（H\\cdot S）\\U T\\geq 0$，对于所有$0\\leq T\\leq T$。在本文中，我们在交易成本存在的情况下得出了一个类似的结果。一个反例表明，考虑交易成本比在无摩擦的情况下更为微妙。
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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