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

Bruno Bouchard (1, 2)

1 LPMA - Laboratoire de Probabilités et Modèles Aléatoires
2 LFA - Laboratoire de Finance Assurance

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).

Mots clés: Absence of arbitrage; proportional transaction costs; imperfect information; optional projection

Domaines: Probabilités [math.PR]

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