No-arbitrage of second kind in countable markets with proportional transaction costs
AbstractMotivated 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), recently introduced by Rasonyi for finite-dimensional markets, allows us 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 many (strictly) consistent price systems.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1008.3276.
Date of creation: Aug 2010
Date of revision: Feb 2013
Publication status: Published in Annals of Applied Probability 2013, Vol. 23, No. 2, 427-454
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-08-28 (All new papers)
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- D. Vallière & E. Denis & Y. Kabanov, 2009. "Hedging of American options under transaction costs," Finance and Stochastics, Springer, vol. 13(1), pages 105-119, January.
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