No-arbitrage criteria for financial markets with efficient friction

Christophe Stricker (**), (), Miklós Rásonyi (*), and Yuri Kabanov ()
Additional contact information
Christophe Stricker (**),: Laboratoire de Mathématiques, Université de Franche-Comté, 16 Route de Gray, 25030 Besançon, Cedex France
Miklós Rásonyi (*),: Computer and Automation Institute of the Hungarian Academy of Sciences, 1111 Budapest, Hungary Manuscript
Yuri Kabanov: Laboratoire de Mathématiques, Université de Franche-Comté, 16 Route de Gray, 25030 Besançon, Cedex France
Authors registered in the RePEc Author Service: Юрий Михайлович Кабанов

Finance and Stochastics, 2002, vol. 6, issue 3, 382 pages

Abstract: We consider a multi-asset discrete-time model of a financial market with proportional transaction costs and efficient friction and prove necessary and sufficient conditions for the absence of arbitrage. Our main result is an extension of the Dalang-Morton-Willinger theorem. As an application, we establish a hedging theorem giving a description of the set of initial endowments which allows to super-replicate a given contingent claim.

Keywords: Transaction costs; arbitrage; hedging; solvency (search for similar items in EconPapers)
JEL-codes: G11 G13 (search for similar items in EconPapers)
Date: 2002-05-17
Note: received: February 2001; final version received: September 2001
References: Add references at CitEc
Citations: View citations in EconPapers (43)

Downloads: (external link)
http://link.springer.de/link/service/journals/00780/papers/2006003/20060371.pdf (application/pdf)
Access to the full text of the articles in this series is restricted

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:finsto:v:6:y:2002:i:3:p:371-382

Ordering information: This journal article can be ordered from
http://www.springer. ... ance/journal/780/PS2

Access Statistics for this article

Finance and Stochastics is currently edited by M. Schweizer

More articles in Finance and Stochastics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().