No-arbitrage of second kind in countable markets with proportional transaction costs

Bruno Bouchard and Erik Taflin

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Abstract: 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: 2010-08, Revised 2013-02
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Published in Annals of Applied Probability 2013, Vol. 23, No. 2, 427-454

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1008.3276

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