Journal ArticleDOI
No-arbitrage criteria for financial markets with transaction costs and incomplete information
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A mathematical scheme covering major models of financial markets with transaction costs is developed and several results are proved including a criterion for the robust no-arbitrage property and a hedging theorem.Abstract:
This note deals with criteria of absence of arbitrage opportunities for an investor acting in a market with frictions and having a limited access to the information flow. We develop a mathematical scheme covering major models of financial markets with transaction costs and prove several results including a criterion for the robust no-arbitrage property and a hedging theorem.read more
Citations
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Journal ArticleDOI
Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs
TL;DR: This note considers a rather abstract continuous-time setting and proves necessary and sufficient conditions for a property which is called no free lunch of the second kind, NFL2, and deduces the Rásonyi theorem from the general result by using specific features of discrete-time models.
Book ChapterDOI
Arbitrage Under Transaction Costs Revisited
TL;DR: In this paper, the authors present a novel arbitrage-related notion for markets with transaction costs in discrete time and characterize it in terms of price systems, and a discussion of the case with one risky asset and an outlook on continuous-time models complement the main result.
Journal ArticleDOI
No-arbitrage pricing for dividend-paying securities in discrete-time markets with transaction costs
TL;DR: In this article, the authors prove a version of the First Fundamental Theorem of Asset Pricing under transaction costs for discrete-time markets with dividend-paying securities, showing that the no-arbitrage condition under the efficient friction assumption is equivalent to the existence of a risk-neutral measure.
Journal ArticleDOI
A convex duality approach for pricing contingent claims under partial information and short selling constraints
TL;DR: In this paper, the authors consider the pricing problem facing a seller of a contingent claim and derive a dual to this problem by using the conjugate duality theory introduced by Rockafellar.
Dissertation
Valorisation financière sur les marchés d'électricité
TL;DR: In this article, Bouchard et al. present a set of modeles faisant apparaitre un lien structurel entre le cout de production d'electricite and les matieres premieres necessaires a production.
References
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Journal ArticleDOI
Martingales and Arbitrage in Securities Markets with Transaction Costs
Elyès Jouini,Hédi Kallal +1 more
TL;DR: In this paper, the authors derive the implications from the absence of arbitrage in dynamic securities markets with bid-ask spreads, which is equivalent to the existence of at least an equivalent probability measure that transforms some process between the bid and the ask price processes of traded securities into a martingale.
Posted Content
Martingale and Arbitrage in securities markets with transaction cost
Elyès Jouini,Hedi Kallal +1 more
TL;DR: In this paper, the authors derive the implications from the absence of arbitrage in dynamic securities market with bi-ask spreads, which is equivalent to the existence of at least an equivalent probability measure that transforms some process between the bid and the ask price processes of traded securities into a martingale.
Journal ArticleDOI
The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
TL;DR: In this paper, a version of the Fundamental Theorem of asset pricing, which applies to Kabanov's approach to foreign exchange markets under transaction costs, is shown to be robust with respect to small changes of the bid ask spreads of Sigma_t_t=0^T.
Book ChapterDOI
A teacher's note on no-arbitrage criteria
Yuri Kabanov,Christophe Stricker +1 more
TL;DR: In this paper, a new proof of the classical Dalang-Morton-Willinger theorem was given, which was later used to prove a new version of the theorem.
Journal ArticleDOI
The Harrison–Pliska arbitrage pricing theorem under transaction costs
TL;DR: In this paper, the authors consider a simple multi-asset discrete-time model of a currency market with transaction costs assuming the finite number of states of the nature and define necessary and sufficient conditions for the absence of arbitrage.