Thumbnail - Request a copy

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, dans Kijima‎, Masaaki, Recent Advances In Financial Engineering 2010, WORLD SCIENTIFIC, p. 69-82

Type
Communication / Conférence
Date
2011
Titre du colloque
Kier-Tmu International Workshop On Financial Engineering 2010
Date du colloque
2010-08
Ville du colloque
Tokyo
Pays du colloque
Japon
Titre de l'ouvrage
Recent Advances In Financial Engineering 2010
Auteurs de l’ouvrage
Kijima‎, Masaaki
Éditeur
WORLD SCIENTIFIC
Isbn
978-6-613-43406-7
Nombre de pages
260
Pages
69-82
Métadonnées
Afficher la notice complète
Auteur(s)
Lépinette, Emmanuel
Résumé (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.
Mots-clés
Transaction costs; Arbitrage; No Free Lunch; Consistent price systems; Set-valued processes; Martingales
JEL
D23 - Organizational Behavior; Transaction Costs; Property Rights