No-arbitrage in discrete-time markets with proportional transaction costs and general information structure
Probability
2008-12-10 v1 Computational Finance
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 and al. (2002), Kabanov and al. (2003) and Schachermayer (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 (2003).
Cite
@article{arxiv.math/0501045,
title = {No-arbitrage in discrete-time markets with proportional transaction costs and general information structure},
author = {Bruno Bouchard},
journal= {arXiv preprint arXiv:math/0501045},
year = {2008}
}