NO MARGINAL ARBITRAGE OF THE SECOND KIND FOR HIGH PRODUCTION REGIMES IN DISCRETE TIME PRODUCTION–INVESTMENT MODELS WITH PROPORTIONAL TRANSACTION COSTS

DOI10.1111/j.1467-9965.2011.00493.xzbMath1262.91145OpenAlexW1840309856MaRDI QIDQ4917304

Bruno Bouchard, Adrien Nguyen Huu

Publication date: 29 April 2013

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2011.00493.x

zbMATH Keywords

nonlinear returnsconsistent price systemsfinancial markets with transaction costsno-arbitrage of the second kind

Mathematics Subject Classification ID

Corporate finance (dividends, real options, etc.) (91G50)

Related Items (3)

A note on super-hedging for investor-producers ⋮ A STRUCTURAL RISK-NEUTRAL MODEL FOR PRICING AND HEDGING POWER DERIVATIVES ⋮ Hedging, arbitrage and optimality with superlinear frictions

Cites Work

• Arbitrage and deflators in illiquid markets
• The fundamental theorem of asset pricing for continuous processes under small transaction costs
• A super-replication theorem in Kabanov's model of transaction costs
• Markets with transaction costs. Mathematical theory.
• Non-arbitrage criteria for financial markets with efficient friction
• Small transaction costs, absence of arbitrage and consistent price systems
• On the closedness of sums of convex cones in \(L^0\) and the robust no-arbitrage property
• Optimal consumption in discrete-time financial models with industrial investment opportunities and nonlinear returns
• Hedging of Claims with Physical Delivery under Convex Transaction Costs
• The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
• A Consumption–Investment Problem with Production Possibilities

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