Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs
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- 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.
References listed on IDEAS
- 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.
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- Yuri M. Kabanov & Günter Last, 2002. "Hedging under Transaction Costs in Currency Markets: a Continuous-Time Model," Mathematical Finance, Wiley Blackwell, vol. 12(1), pages 63-70.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Bruno Bouchard & Emmanuel Lepinette & Erik Taflin, 2013. "Robust no-free lunch with vanishing risk, a continuum of assets and proportional transaction costs," Papers 1302.0361, arXiv.org.
- Adrien Nguyen Huu, 2011. "A note on super-hedging for investor-producers," Papers 1112.4740, arXiv.org, revised Mar 2012.
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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.
- Erindi Allaj, 2013. "Implicit transaction costs and the fundamental theorems of asset pricing," Papers 1310.1882, arXiv.org, revised Jul 2017.
- Irene Klein & Emmanuel Lépinette & Lavinia Perez-Ostafe, 2014. "Asymptotic arbitrage with small transaction costs," Finance and Stochastics, Springer, vol. 18(4), pages 917-939, October.
- Paolo Guasoni & Mikl'os R'asonyi, 2015. "Hedging, arbitrage and optimality with superlinear frictions," Papers 1506.05895, arXiv.org.
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- Bruno Bouchard & Adrien Nguyen Huu, 2013. "No marginal arbitrage of the second kind for high production regimes in discrete time production-investment models with proportional transaction costs," Post-Print hal-00487030, HAL.
More about this item
KeywordsTransaction costs; Arbitrage; No free lunch; Consistent price systems; Set-valued processes; Martingales; 60G44; G11; G13;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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