Non-arbitrage criteria for financial markets with efficient friction (Q1409835): Difference between revisions
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Revision as of 03:16, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
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| English | Non-arbitrage criteria for financial markets with efficient friction |
scientific article |
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Non-arbitrage criteria for financial markets with efficient friction (English)
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22 October 2003
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Non-arbitrage criteria are presented for a multi-asset multi-period model with proportional transaction cost in the case of infinite underlying probability space. The main result is as follows: In the presence of efficient friction a financial market does not admit weak arbitrage opportunities at any date if and only if there exists a dual martingale process evolving in the interior of the positive dual to the solvency cone.
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transaction costs
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hedging
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solvency
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multi-asset multi-period model
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proportional transaction cost
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efficient friction
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