Robust No Arbitrage Condition for Continuous-Time Models with Transaction Costs
Lépinette, Emmanuel (2011), Robust No Arbitrage Condition for Continuous-Time Models with Transaction Costs, in Kijima, Masaaki, Recent Advances In Financial Engineering 2010, WORLD SCIENTIFIC, p. 69-82
TypeCommunication / Conférence
Conference titleKier-Tmu International Workshop On Financial Engineering 2010
Book titleRecent Advances In Financial Engineering 2010
Book authorKijima, Masaaki
Number of pages260
MetadataShow full item record
Abstract (EN)We extend the Robust No Free Lunch (RNFL) theorem formulated for discrete-time models with proportional transaction costs to general continuous-time settings. We prove that the (RNFL) condition is equivalent to the existence of a strictly consistent price system, i.e. a martingale evolving in the interior of the solvency cone of all portfolio positions which can be changed into positive ones paying transaction costs.
Subjects / KeywordsTransaction costs; Arbitrage; No Free Lunch; Consistent price systems; Set-valued processes; Martingales
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