Constructive No-Arbitrage Criterion under Transaction Costs in the Case of Finite Discrete Time

DOI10.1137/S0040585X97982803MaRDI QIDQ3521328zbMATH OpenOpenAlexFDO

Authors D. B. Rokhlin

Publication date 21 August 2008

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0603284

zbMATH Keywords

arbitrage portfoliosmeasurable set-valued mapsrobust no-arbitragesupports of the regular conditional distributionstransaction costs

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Applications of statistics to actuarial sciences and financial mathematics (62P05) Trade models (91B60)

Abstract: We obtain a constructive criterion for robust no-arbitrage in discrete-time market models with transaction costs. This criterion is expressed in terms of the supports of the regular conditional upper distributions of the solvency cones. We also consider the model with a bank account. A method for construction of arbitrage strategies is proposed.

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