No-arbitrage in Discrete-time Markets with Proportional Transaction Costs and General Information structure

Bruno Bouchard ()
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Bruno Bouchard: University Pierre et Marie Curie-Boite courrier 188

Finance and Stochastics, 2006, vol. 10, issue 2, No 6, 276-297

Abstract: Abstract We discuss the no-arbitrage conditions in a general framework for discrete-time models of financial markets with proportional transaction costs and general information structure. We extend the results of Kabanov et al. (Finance Stoch 6(3):371–382, 2002; Finance Stoch 7(3):403–411, 2003) and Schachermayer (Math Finance 14(1):19–48, 2004) to the case where bid-ask spreads are not known with certainty. In the “no-friction” case, we retrieve the result of Kabanov and Stricker (Preprint 2003). Additionally, we propose a new modelization based on simple orders which appears to be powerful whatever the information structure is.

Keywords: Absence of arbitrage; Proportional transaction costs; Imperfect information; Optional projection; 91B28; 60G42 (search for similar items in EconPapers)
JEL-codes: G10 (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (14)

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DOI: 10.1007/s00780-006-0002-8

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