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No-arbitrage criteria for financial markets with transaction costs and incomplete information

Author

Listed:
  • Dimitri De Vallière

    ()

  • Yuri Kabanov

    ()

  • Christophe Stricker

    ()

Abstract

No abstract is available for this item.

Suggested Citation

  • Dimitri De Vallière & Yuri Kabanov & Christophe Stricker, 2007. "No-arbitrage criteria for financial markets with transaction costs and incomplete information," Finance and Stochastics, Springer, vol. 11(2), pages 237-251, April.
  • Handle: RePEc:spr:finsto:v:11:y:2007:i:2:p:237-251
    DOI: 10.1007/s00780-006-0029-x
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    File URL: http://hdl.handle.net/10.1007/s00780-006-0029-x
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    References listed on IDEAS

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    1. repec:dau:papers:123456789/5630 is not listed on IDEAS
    2. repec:crs:wpaper:9513 is not listed on IDEAS
    3. repec:dau:papers:123456789/1850 is not listed on IDEAS
    4. Bruno Bouchard, 2006. "No-arbitrage in Discrete-time Markets with Proportional Transaction Costs and General Information structure," Finance and Stochastics, Springer, vol. 10(2), pages 276-297, April.
    5. Jouini Elyes & Kallal Hedi, 1995. "Martingales and Arbitrage in Securities Markets with Transaction Costs," Journal of Economic Theory, Elsevier, vol. 66(1), pages 178-197, June.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Tomasz R. Bielecki & Igor Cialenco & Rodrigo Rodriguez, 2012. "No-Arbitrage Pricing for Dividend-Paying Securities in Discrete-Time Markets with Transaction Costs," Papers 1205.6254, arXiv.org, revised Jun 2013.
    2. Emmanuel Denis & Yuri Kabanov, 2012. "Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs," Finance and Stochastics, Springer, vol. 16(1), pages 135-154, January.

    More about this item

    Keywords

    Transaction costs; Incomplete information; Arbitrage; Hedging; G10; 91B28; 60G42;

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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