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No-arbitrage of second kind in countable markets with proportional transaction costs

Bouchard, Bruno; Taflin, Erik (2013), No-arbitrage of second kind in countable markets with proportional transaction costs, The Annals of Applied Probability, 23, 2, p. 427-454. http://dx.doi.org/10.1214/11-AAP825

Type
Article accepté pour publication ou publié
Date
2013
Journal name
The Annals of Applied Probability
Volume
23
Number
2
Publisher
Institute of Mathematical Statistics
Pages
427-454
Publication identifier
Metadata
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Author(s)
Bouchard, Bruno
Taflin, Erik cc
Abstract (EN)
Motivated by applications to bond markets, we propose a multivariate framework for discrete time financial markets with proportional transaction costs and a countable infinite number of tradable assets. We show that the no-arbitrage of second kind property (NA2 in short), recently introduced by Rásonyi for finite-dimensional markets, allows us to provide a closure property for the set of attainable claims in a very natural way, under a suitable efficient friction condition. We also extend to this context the equivalence between NA2 and the existence of many (strictly) consistent price systems.
Subjects / Keywords
No-arbitrage; Bond market; Transaction costs