New methods in the arbitrage theory of financial markets with transaction costs

被引：0
|
作者：
Rasonyi, Miklos [1 ]
机构：
[1] Hungarian Acad Sci, Inst Comp & Automat, H-1518 Budapest, Hungary
来源：
SEMINAIRE DE PROBABILITES XLI | 2008年 / 1934卷
关键词：
D O I：
暂无
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
Using entirely new methods, we reprove the main result of [6]: strict absence of arbitrage is equivalent to the existence of a strictly consistent price system in markets with efficient proportional transaction costs in finite discrete time. We also improve on that result by considering a more general class of models.
引用
收藏
页码：455 / 462
页数：8
相关论文
共 50 条
  • [1] New Methods in the Arbitrage Theory of Financial Markets with Transaction Costs (vol 1934, pg 455, 2008)
    Rasonyi, Miklos
    [J]. SEMINAIRE DE PROBABILITES XLII, 2009, 1979 : 449 - 449
  • [2] No-arbitrage criteria for financial markets with transaction costs and incomplete information
    Dimitri De Vallière
    Yuri Kabanov
    Christophe Stricker
    [J]. Finance and Stochastics, 2007, 11 : 237 - 251
  • [3] No-arbitrage criteria for financial markets with transaction costs and incomplete information
    De Valliere, Dimitry
    Kabanov, Yuri
    Stricker, Christophe
    [J]. FINANCE AND STOCHASTICS, 2007, 11 (02) : 237 - 251
  • [4] MARTINGALES AND ARBITRAGE IN SECURITIES MARKETS WITH TRANSACTION COSTS
    JOUINI, E
    KALLAL, H
    [J]. JOURNAL OF ECONOMIC THEORY, 1995, 66 (01) : 178 - 197
  • [5] NO ARBITRAGE AND VALUATION IN MARKETS WITH REALISTIC TRANSACTION COSTS
    DERMODY, JC
    PRISMAN, EZ
    [J]. JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 1993, 28 (01) : 65 - 80
  • [6] ARBITRAGE-FREE MODELS IN MARKETS WITH TRANSACTION COSTS
    Sayit, Hasanjan
    Viens, Frederi
    [J]. ELECTRONIC COMMUNICATIONS IN PROBABILITY, 2011, 16 : 614 - 622
  • [7] Financial markets with endogenous transaction costs
    Martins-da-Rocha, V. Filipe
    Vailakis, Yiannis
    [J]. ECONOMIC THEORY, 2010, 45 (1-2) : 65 - 97
  • [8] Financial markets with endogenous transaction costs
    V. Filipe Martins-da-Rocha
    Yiannis Vailakis
    [J]. Economic Theory, 2010, 45 : 65 - 97
  • [9] Transaction costs and informational cascades in financial markets
    Cipriani, Marco
    Guarino, Antonio
    [J]. JOURNAL OF ECONOMIC BEHAVIOR & ORGANIZATION, 2008, 68 (3-4) : 581 - 592
  • [10] NO-ARBITRAGE OF SECOND KIND IN COUNTABLE MARKETS WITH PROPORTIONAL TRANSACTION COSTS
    Bouchard, Bruno
    Taflin, Erik
    [J]. ANNALS OF APPLIED PROBABILITY, 2013, 23 (02): : 427 - 454
12345