No-arbitrage of second kind in countable markets with proportional transaction costs

DOI10.1214/11-AAP825zbMath1266.91117arXiv1008.3276MaRDI QIDQ1948693

Bruno Bouchard, Erik Taflin

Publication date: 24 April 2013

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1008.3276

zbMATH Keywords

bond marketcountable infinite number of tradable assetsNo-arbitrage, proportional transaction costs

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Corporate finance (dividends, real options, etc.) (91G50)

Related Items (8)

Essential supremum with respect to a random partial order ⋮ Essential supremum and essential maximum with respect to random preference relations ⋮ Asymptotic arbitrage with small transaction costs ⋮ Robust No Arbitrage of the Second Kind with a Continuum of Assets and Proportional Transaction Costs ⋮ General financial market model defined by a liquidation value process ⋮ Robust no-free lunch with vanishing risk, a continuum of assets and proportional transaction costs ⋮ Hedging, arbitrage and optimality with superlinear frictions ⋮ Consistent price systems under model uncertainty

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