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
TypeArticle accepté pour publication ou publié
Journal nameThe Annals of Applied Probability
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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 / KeywordsNo-arbitrage; Bond market; Transaction costs
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