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No-arbitrage criteria for financial markets with transaction costs and incomplete information

Author

Listed:
  • Dimitri De Vallière
  • Yuri Kabanov
  • Christophe Stricker

Abstract

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Suggested Citation

  • 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.
    • Handle: RePEc:spr:finsto:v:11:y:2007:i:2:p:237-251
    DOI: 10.1007/s00780-006-0029-x
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    References listed on IDEAS

    as
    1. Jouini Elyes & Kallal Hedi, 1995. "Martingales and Arbitrage in Securities Markets with Transaction Costs," Journal of Economic Theory, Elsevier, vol. 66(1), pages 178-197, June.
    2. repec:dau:papers:123456789/5630 is not listed on IDEAS
    3. repec:crs:wpaper:9513 is not listed on IDEAS
    4. repec:dau:papers:123456789/1850 is not listed on IDEAS
    5. 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.
    6. 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.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
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    Cited by:

    1. Emmanuel Denis & Yuri Kabanov, 2012. "Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs," Finance and Stochastics, Springer, vol. 16(1), pages 135-154, January.
    2. 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.
    3. Kristina Rognlien Dahl, 2019. "A convex duality approach for pricing contingent claims under partial information and short selling constraints," Papers 1902.10492, arXiv.org.
    4. 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.
    5. 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.

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    More about this item

    Keywords

    Transaction costs; Incomplete information; Arbitrage; Hedging; G10; 91B28; 60G42;
    All these keywords.

    JEL classification:

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

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