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

dc.contributor.authorBouchard, Bruno
dc.date.accessioned2009-09-22T10:29:13Z
dc.date.available2009-09-22T10:29:13Z
dc.date.issued2006
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/1850
dc.language.isoenen
dc.subjectProportional transaction costsen
dc.subjectMathematical Financeen
dc.subject.ddc519en
dc.subject.classificationjelG10en
dc.titleNo-arbitrage in discrete-time markets with proportional transaction costs and general information structureen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWe 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.en
dc.relation.isversionofjnlnameFinance and Stochastics
dc.relation.isversionofjnlvol10en
dc.relation.isversionofjnlissue2en
dc.relation.isversionofjnldate2006-04
dc.relation.isversionofjnlpages276-297en
dc.relation.isversionofdoihttp://dx.doi.org/10.1007/s00780-006-0002-8en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherSpringeren
dc.subject.ddclabelProbabilités et mathématiques appliquéesen


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