No-arbitrage criteria for financial markets with transaction costs and incomplete information
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- repec:dau:papers:123456789/5630 is not listed on IDEAS
- repec:crs:wpaper:9513 is not listed on IDEAS
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- 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.
- 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.
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- 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.
- 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.
- Emmanuel Denis & Yuri Kabanov, 2011. "Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs," Post-Print hal-00488288, HAL.
More about this item
KeywordsTransaction costs; Incomplete information; Arbitrage; Hedging; G10; 91B28; 60G42;
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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