No-arbitrage of second kind in countable markets with proportional transaction costs
Abstract
Motivated by applications to bond markets, we propose a multivariate framework for discrete time financial markets with proportional transaction costs and a countable infinite number of tradable assets. We show that the no-arbitrage of second kind property (NA2 in short), recently introduced by Rasonyi for finite-dimensional markets, allows us to provide a closure property for the set of attainable claims in a very natural way, under a suitable efficient friction condition. We also extend to this context the equivalence between NA2 and the existence of many (strictly) consistent price systems.
Keywords
Cite
@article{arxiv.1008.3276,
title = {No-arbitrage of second kind in countable markets with proportional transaction costs},
author = {Bruno Bouchard and Erik Taflin},
journal= {arXiv preprint arXiv:1008.3276},
year = {2013}
}
Comments
Published in at http://dx.doi.org/10.1214/11-AAP825 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)