No-arbitrage in discrete-time markets with proportional transaction costs and general information structure

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dc.creatorBouchard, Bruno
dc.date2005-01-04
dc.date.accessioned2026-07-07T12:11:10Z
dc.date.available2026-07-07T12:11:10Z
dc.descriptionWe 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).
dc.identifierhttps://arxiv.org/abs/math/0501045
dc.identifierhttp://arxiv.org/abs/math/0501045
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/210143
dc.subjectProbability
dc.subjectComputational Finance
dc.subjectAMS (2000) Subject Classification: 91B28, 60G42
dc.titleNo-arbitrage in discrete-time markets with proportional transaction costs and general information structure
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