No-arbitrage criteria for financial markets with transaction costs and incomplete information

DOI10.1007/S00780-006-0029-XzbMath1144.91017OpenAlexW2082979199MaRDI QIDQ2463713

Christophe Stricker, Youri M.Kabanov, Dimitry De Vallière

Publication date: 16 December 2007

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

Full work available at URL: https://doi.org/10.1007/s00780-006-0029-x

zbMATH Keywords

hedgingtransaction costsincomplete informationarbitrage

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42)

Related Items (6)

NO-ARBITRAGE PRICING FOR DIVIDEND-PAYING SECURITIES IN DISCRETE-TIME MARKETS WITH TRANSACTION COSTS ⋮ Von Neumann–Gale model, market frictions and capital growth ⋮ A convex duality approach for pricing contingent claims under partial information and short selling constraints ⋮ Consistent price systems and arbitrage opportunities of~the~second kind in models with transaction costs ⋮ Prospective strict no-arbitrage and the fundamental theorem of asset pricing under transaction costs ⋮ Robust discrete-time super-hedging strategies under AIP condition and under price uncertainty

Cites Work

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• No-arbitrage in discrete-time markets with proportional transaction costs and general information structure
• On the closedness of sums of convex cones in \(L^0\) and the robust no-arbitrage property
• Martingales and arbitage in securities markets with transaction costs
• The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
• On low dimensional case in the fundamental asset pricing theorem with transaction costs
• The Harrison-Pliska arbitrage pricing theorem under transaction costs

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