Consistent price systems and arbitrage opportunities of~the~second kind in models with transaction costs

DOI10.1007/s00780-010-0144-6zbMath1262.60038OpenAlexW1985948815MaRDI QIDQ1761435

Emmanuel Denis, Youri M.Kabanov

Publication date: 15 November 2012

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://basepub.dauphine.fr/handle/123456789/4652

zbMATH Keywords

martingalestransaction costsarbitrageconsistent price systemsno free lunchset-valued processes

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Martingales with continuous parameter (60G44)

Related Items (13)

IMPLICIT TRANSACTION COSTS AND THE FUNDAMENTAL THEOREMS OF ASSET PRICING ⋮ A note on super-hedging for investor-producers ⋮ NO-ARBITRAGE PRICING FOR DIVIDEND-PAYING SECURITIES IN DISCRETE-TIME MARKETS WITH TRANSACTION COSTS ⋮ Arbitrage theory for non convex financial market models ⋮ No-arbitrage of second kind in countable markets with proportional transaction costs ⋮ A Complement to the Grigoriev Theorem for the Kabanov Model ⋮ Unnamed Item ⋮ Asymptotic arbitrage with small transaction costs ⋮ Risk arbitrage and hedging to acceptability under transaction costs ⋮ Fundamental theorem of asset pricing under fixed and proportional transaction costs ⋮ Robust No Arbitrage of the Second Kind with a Continuum of Assets and Proportional Transaction Costs ⋮ Robust no-free lunch with vanishing risk, a continuum of assets and proportional transaction costs ⋮ Hedging, arbitrage and optimality with superlinear frictions

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