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

被引：5

作者：

De Valliere, Dimitry

Kabanov, Yuri

Stricker, Christophe

机构：

[1] Univ Franche Comte, Math Lab, F-25030 Besancon, France

[2] Cent Econ & Math Inst, Moscow, Russia

来源：

FINANCE AND STOCHASTICS | 2007年 / 11卷 / 02期

关键词：

transaction costs; incomplete information; arbitrage; hedging;

D O I：

10.1007/s00780-006-0029-x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This note deals with criteria of absence of arbitrage opportunities for an investor acting in a market with frictions and having a limited access to the information flow. We develop a mathematical scheme covering major models of financial markets with transaction costs and prove several results including a criterion for the robust no-arbitrage property and a hedging theorem.

引用

页码：237 / 251

页数：15

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[1] No-arbitrage criteria for financial markets with transaction costs and incomplete information
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Yuri Kabanov
Christophe Stricker
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