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

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 incl...

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Bibliographic Details
Published in:Finance and stochastics 2007-04, Vol.11 (2), p.237-251
Main Authors: De Vallière, Dimitri, Kabanov, Yuri, Stricker, Christophe
Format: Article
Language:English
Subjects:
Arbitrage
Capital market theory
Costs
Financial information
Hedging
Imperfect information
Information
Investors
Mathematical finance
Mathematical models
Opportunity
Prices
Random variables
Securities analysis
Securities markets
Solvency
Studies
Theory
Transaction costs
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Summary: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.[PUBLICATION ABSTRACT]
ISSN:0949-2984
1432-1122
DOI:10.1007/s00780-006-0029-x