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Robust No Arbitrage Condition for Continuous-Time Models with Transaction Costs

hal.structure.identifier
dc.contributor.authorLépinette, Emmanuel*
dc.date.accessioned2012-05-31T09:22:41Z
dc.date.available2012-05-31T09:22:41Z
dc.date.issued2011
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/9306
dc.language.isoenen
dc.subjectTransaction costsen
dc.subjectArbitrageen
dc.subjectNo Free Lunchen
dc.subjectConsistent price systemsen
dc.subjectSet-valued processesen
dc.subjectMartingalesen
dc.subject.ddc332en
dc.subject.classificationjelD23en
dc.titleRobust No Arbitrage Condition for Continuous-Time Models with Transaction Costsen
dc.typeCommunication / Conférence
dc.description.abstractenWe 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.en
dc.identifier.citationpages69-82en
dc.relation.ispartoftitleRecent Advances In Financial Engineering 2010en
dc.relation.ispartofeditorKijima‎, Masaaki
dc.relation.ispartofpublnameWORLD SCIENTIFICen
dc.relation.ispartofdate2011
dc.relation.ispartofpages260en
dc.description.sponsorshipprivateouien
dc.subject.ddclabelEconomie financièreen
dc.relation.ispartofisbn978-6-613-43406-7en
dc.relation.conftitleKier-Tmu International Workshop On Financial Engineering 2010en
dc.relation.confdate2010-08
dc.relation.confcityTokyoen
dc.relation.confcountryJaponen
hal.author.functionaut


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