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

Emmanuel Denis () and Yuri Kabanov ()
Authors registered in the RePEc Author Service: Юрий Михайлович Кабанов and Emmanuel Lépinette

Finance and Stochastics, 2012, vol. 16, issue 1, 135-154

Keywords: Transaction costs; Arbitrage; No free lunch; Consistent price systems; Set-valued processes; Martingales; 60G44; G11; G13 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (10)

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Working Paper: Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs (2011)
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DOI: 10.1007/s00780-010-0144-6

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