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

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Abstract

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Suggested Citation

  • Bruno Bouchard, 2006. "No-arbitrage in Discrete-time Markets with Proportional Transaction Costs and General Information structure," Finance and Stochastics, Springer, vol. 10(2), pages 276-297, April.
    • Handle: RePEc:spr:finsto:v:10:y:2006:i:2:p:276-297
    DOI: 10.1007/s00780-006-0002-8
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    Citations

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    Cited by:

    1. Dimitri De Vallière & Yuri Kabanov & Christophe Stricker, 2007. "No-arbitrage criteria for financial markets with transaction costs and incomplete information," Finance and Stochastics, Springer, vol. 11(2), pages 237-251, April.
    2. Gianluca Cassese, 2014. "Option Pricing in an Imperfect World," Papers 1406.0412, arXiv.org, revised Sep 2016.
    3. Mario Sikic, 2015. "Financial market models in discrete time beyond the concave case," Papers 1512.01758, arXiv.org.
    4. Ariel Neufeld & Mario Sikic, 2016. "Robust Utility Maximization in Discrete-Time Markets with Friction," Papers 1610.09230, arXiv.org, revised May 2018.
    5. Tomasz Zastawniak, 2024. "Fundamental Theorem of Asset Pricing under fixed and proportional costs in multi-asset setting and finite probability space," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 47(1), pages 137-149, June.
    6. Gianluca Cassese, 2017. "Asset pricing in an imperfect world," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 64(3), pages 539-570, October.
    7. Tomasz R. Bielecki & Igor Cialenco & Rodrigo Rodriguez, 2012. "No-Arbitrage Pricing for Dividend-Paying Securities in Discrete-Time Markets with Transaction Costs," Papers 1205.6254, arXiv.org, revised Jun 2013.
    8. Kristina Rognlien Dahl, 2019. "A convex duality approach for pricing contingent claims under partial information and short selling constraints," Papers 1902.10492, arXiv.org.
    9. Christoph Kühn & Alexander Molitor, 2019. "Prospective strict no-arbitrage and the fundamental theorem of asset pricing under transaction costs," Finance and Stochastics, Springer, vol. 23(4), pages 1049-1077, October.
    10. Martin Brown & Tomasz Zastawniak, 2020. "Fundamental Theorem of Asset Pricing under fixed and proportional transaction costs," Annals of Finance, Springer, vol. 16(3), pages 423-433, September.
    11. Dylan Possamai & Guillaume Royer, 2014. "General indifference pricing with small transaction costs," Papers 1401.3261, arXiv.org, revised Apr 2015.
    12. Christoph Kuhn & Alexander Molitor, 2018. "Prospective strict no-arbitrage and the fundamental theorem of asset pricing under transaction costs," Papers 1811.11621, arXiv.org, revised Apr 2019.

    More about this item

    Keywords

    Absence of arbitrage; Proportional transaction costs; Imperfect information; Optional projection; 91B28; 60G42; G10;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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