Constructive No-Arbitrage Criterion under Transaction Costs in the Case of Finite Discrete Time

DOI10.1137/S0040585X97982803zbMath1141.91602arXivmath/0603284OpenAlexW2093082829MaRDI QIDQ3521328

Dmitry B. Rokhlin

Publication date: 21 August 2008

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0603284

zbMATH Keywords

transaction costsrobust no-arbitragemeasurable set-valued mapsarbitrage portfoliossupports of the regular conditional distributions

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Martingales with discrete parameter (60G42) Trade models (91B60)

Related Items (3)

Arbitrage and Hedging in Model-Independent Markets with Frictions ⋮ FTAP in finite discrete time with transaction costs by utility maximization ⋮ Prospective strict no-arbitrage and the fundamental theorem of asset pricing under transaction costs

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