Constructive no-arbitrage criterion under transaction costs in the case of finite discrete time

Details Constructive no-arbitrage criterion under transaction costs in the case of finite discrete time Constructive no-arbitrage criterion under transaction costs in the case of finite discrete time

2006-03-13

arxiv.org/abs/math/0603284v1

Mathematics

Probability

18 pages, 1 fig

Scientific paper

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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