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Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs

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  • Emmanuel Denis

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  • Yuri Kabanov

    ()

Abstract

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Suggested Citation

  • 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.
  • Handle: RePEc:spr:finsto:v:16:y:2012:i:1:p:135-154
    DOI: 10.1007/s00780-010-0144-6
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    References listed on IDEAS

    as
    1. 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.
    2. 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.
    3. 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.
    4. (**), Christophe Stricker & (*), Miklós Rásonyi & Yuri Kabanov, 2002. "No-arbitrage criteria for financial markets with efficient friction," Finance and Stochastics, Springer, vol. 6(3), pages 371-382.
    5. Jouini, Elyes & Napp, Clotilde & Schachermayer, Walter, 2005. "Arbitrage and state price deflators in a general intertemporal framework," Journal of Mathematical Economics, Elsevier, vol. 41(6), pages 722-734, September.
    6. Kabanov, Yu. M. & Stricker, Ch., 2001. "The Harrison-Pliska arbitrage pricing theorem under transaction costs," Journal of Mathematical Economics, Elsevier, vol. 35(2), pages 185-196, April.
    7. Paolo Guasoni & Mikl'os R'asonyi & Walter Schachermayer, 2008. "Consistent price systems and face-lifting pricing under transaction costs," Papers 0803.4416, arXiv.org.
    8. Grigoriev Pavel G., 2005. "On low dimensional case in the fundamental asset pricing theorem with transaction costs," Statistics & Risk Modeling, De Gruyter, vol. 23(1/2005), pages 33-48, January.
    9. repec:dau:papers:123456789/345 is not listed on IDEAS
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    Citations

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    Cited by:

    1. 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.
    2. Erindi Allaj, 2013. "Implicit transaction costs and the fundamental theorems of asset pricing," Papers 1310.1882, arXiv.org, revised Jul 2017.
    3. 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.
    4. Paolo Guasoni & Mikl'os R'asonyi, 2015. "Hedging, arbitrage and optimality with superlinear frictions," Papers 1506.05895, arXiv.org.
    5. repec:wsi:ijtafx:v:20:y:2017:i:04:n:s0219024917500248 is not listed on IDEAS
    6. Adrien Nguyen Huu, 2011. "A note on super-hedging for investor-producers," Papers 1112.4740, arXiv.org, revised Mar 2012.
    7. repec:eee:spapps:v:127:y:2017:i:10:p:3331-3353 is not listed on IDEAS
    8. 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.
    9. 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

    Keywords

    Transaction costs; Arbitrage; No free lunch; Consistent price systems; Set-valued processes; Martingales; 60G44; G11; G13;

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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