No-arbitrage of second kind in countable markets with proportional transaction costs - Centre de Recherche en Économie et Statistique Accéder directement au contenu
Article Dans Une Revue The Annals of Applied Probability Année : 2013

No-arbitrage of second kind in countable markets with proportional transaction costs

Résumé

Motivated by applications to bond markets, we propose a multivariate framework for discrete time financial markets with proportional transaction costs and a {countable infinite} number of tradable assets. We show that the no-arbitrage of second kind property (NA2 in short), introduced by Rasonyi (2009) for finite dimensional markets, allows to provide a closure property for the set of attainable claims in a very natural way, under a suitable efficient friction condition. We also extend to this context the equivalence between NA2 and the existence of multiple (strictly) consistent price systems.
Fichier principal
Vignette du fichier
BTa2010.pdf (244.83 Ko) Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)
Loading...

Dates et versions

hal-00511043 , version 1 (23-08-2010)

Identifiants

  • HAL Id : hal-00511043 , version 1

Citer

Bruno Bouchard, Erik Taflin. No-arbitrage of second kind in countable markets with proportional transaction costs. The Annals of Applied Probability, 2013, 23 (2), pp.427-454. ⟨hal-00511043⟩
225 Consultations
86 Téléchargements

Partager

Gmail Facebook X LinkedIn More