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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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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cites cdi_FETCH-LOGICAL-c365t-af0003d46da2f3b4c4fb9a5043354a5cf030a60cde508bf14dd0ca6c2772a1833
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creator De Vallière, Dimitri
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description 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]
doi_str_mv 10.1007/s00780-006-0029-x
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source International Bibliography of the Social Sciences (IBSS); Business Source Ultimate; ABI/INFORM global; EBSCOhost Econlit with Full Text; Springer Nature
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
title No-arbitrage criteria for financial markets with transaction costs and incomplete information
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