Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs.
Denis , Emmanuel; Kabanov , Yuri;
- Publisher: Springer Verlag (Germany)
- Subject: transaction costs | consistent price systems | [ QFIN.PM ] Quantitative Finance [q-fin]/Portfolio Management [q-fin.PM] | no free lunch | JEL : G - Financial Economics | MSC 60G44, JEL G11, G13 | JEL : C - Mathematical and Quantitative Methods | [ MATH.MATH-PR ] Mathematics [math]/Probability [math.PR] | arbitrage | set-valued processes | martingales | Consistent price systems; No Free Lunch; Arbitrage; Transaction costs; Martingales; Set-valued processes; | [ QFIN.PR ] Quantitative Finance [q-fin]/Pricing of Securities [q-fin.PR]
- jel: jel:G11 | jel:G13
International audience; In contrast with the classical models of frictionless financial markets, market models with proportional transaction costs, even satisfying usual no-arbitrage properties, may admit arbitrage opportunities of the second kind. This means that there... View more
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