No-arbitrage of second kind in countable markets with proportional transaction costs
Motivated 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.
|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|
|Contact details of provider:|| Web page: http://arxiv.org/|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- Yuri Kabanov & Dimitri De Vallière & Emmanuel Denis, 2009. "Hedging of American options under transaction costs," Post-Print hal-00488688, HAL.
- M. De Donno & M. Pratelli, 2006. "A theory of stochastic integration for bond markets," Papers math/0602532, arXiv.org.
When requesting a correction, please mention this item's handle: RePEc:arx:papers:1008.3276. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.