No-arbitrage in discrete-time markets with proportional transaction costs and general information structure

Details No-arbitrage in discrete-time markets with proportional transaction costs and general information structure No-arbitrage in discrete-time markets with proportional transaction costs and general information structure

2005-01-04

arxiv.org/abs/math/0501045v1

Mathematics

Probability

Scientific paper

We discuss the no-arbitrage conditions in a general framework for discrete-time models of financial markets with proportional transaction costs and general information structure. We extend the results of Kabanov and al. (2002), Kabanov and al. (2003) and Schachermayer (2004) to the case where bid-ask spreads are not known with certainty. In the "no-friction" case, we retrieve the result of Kabanov and Stricker (2003).

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