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

Abstract : 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 and al. (2002), Kabanov and al. (2003) and Schachermayer (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 (2003).
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Cited literature [18 references]

https://hal.archives-ouvertes.fr/hal-00003764
Contributor : Bruno Bouchard <>
Submitted on : Tuesday, January 4, 2005 - 12:27:35 PM
Last modification on : Thursday, December 10, 2020 - 11:08:23 AM
Long-term archiving on: : Thursday, April 1, 2010 - 4:16:28 PM

### Citation

Bruno Bouchard. No-arbitrage in discrete-time markets with proportional transaction costs and general information structure. Finance and Stochastics, Springer Verlag (Germany), 2006, 10 (2), pp.276-297. ⟨hal-00003764⟩

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