No-arbitrage in discrete-time markets with proportional transaction costs and general information structure

2005/01/04 by Bruno Bouchard, Bouchard, Bruno
Economics, Econometrics and Finance · Mathematics · #Credit Risk and Financial Regulations #Economic theories and models #Stochastic processes and financial applications #math.PR #msc:60G42 #msc:91B28 #q-fin.CP

paper · pdf · doi:10.48550/arxiv.math/0501045

arxiv created 2005/01/04 · arxiv updated 2009/12/01

Abstract

We discuss the no-arbitrage conditions in a general framework for discrete-time models of financial markets with proportional transaction costs and general information structure. We extend the results of Kabanov and al. (2002), Kabanov and al. (2003) and Schachermayer (2004) to the case where bid-ask spreads are not known with certainty. In the "no-friction" case, we retrieve the result of Kabanov and Stricker (2003).

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