Nonconvex optimization for pricing and h
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A. Balbas; S. Mayoral
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Article
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2006
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Elsevier Science
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English
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The paper deals with imperfect financial markets and provides new methods to overcome many inefficiencies caused by frictions. Transaction costs are quite general and far from linear or convex. The concepts of pseudoarbitrage and efficiency are introduced and deeply analyzed by means of both scalar