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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).
Cited literature [18 references]
https://hal.archives-ouvertes.fr/hal-00003764
Contributor : Bruno Bouchard Connect in order to contact the contributor
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
Contributor : Bruno Bouchard Connect in order to contact the contributor
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