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No-arbitrage in discrete-time markets with proportional transaction costs and general information structure

Bouchard, Bruno (2006), No-arbitrage in discrete-time markets with proportional transaction costs and general information structure, Finance and Stochastics, 10, 2, p. 276-297. http://dx.doi.org/10.1007/s00780-006-0002-8

Type
Article accepté pour publication ou publié
Date
2006
Nom de la revue
Finance and Stochastics
Volume
10
Numéro
2
Éditeur
Springer
Pages
276-297
Identifiant publication
Métadonnées
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Auteur(s)
Bouchard, Bruno
Résumé (EN)
We discuss the no-arbitrage conditions in a general framework for discrete-time models of financial markets with proportional transaction costs and general information structure. We extend the results of Kabanov et al. (Finance Stoch 6(3):371–382, 2002; Finance Stoch 7(3):403–411, 2003) and Schachermayer (Math Finance 14(1):19–48, 2004) to the case where bid-ask spreads are not known with certainty. In the “no-friction” case, we retrieve the result of Kabanov and Stricker (Preprint 2003). Additionally, we propose a new modelization based on simple orders which appears to be powerful whatever the information structure is.
Mots-clés
Proportional transaction costs; Mathematical Finance
JEL
G10 - General