Arbitrage-free Models In Markets With Transaction Costs
نویسندگان
چکیده
منابع مشابه
Arbitrage-Free Models in Markets with Transaction Costs
In the paper [7], Guasoni studies financial markets which are subject to proportional transaction costs. The standard martingale framework of stochastic finance is not applicable in these markets, since the transaction costs force trading strategies to have bounded variation, while continuoustime martingale strategies have infinite transaction cost. The main question that arises out of [7] is w...
متن کاملSuper-Hedging and Arbitrage Pricing in Markets with Transaction Costs and Trading Constraints
The arbitrage pricing principle has been used to derive price relations like the Black-Scholes formula and Heath-Jarrow-Morton models in the context of frictionless markets and unconstrained trading. These relations may or may not be good approximations to reality. Even if, they are certainly not enforced by real world arbitrage because of transaction costs and trading constraints. Recently, re...
متن کاملNo-arbitrage in Discrete-time Markets with Proportional Transaction Costs and General Information structure
We discuss the no-arbitrage conditions in a general framework for discretetime 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 Kaban...
متن کاملStatistical Arbitrage and Optimal Trading with Transaction Costs in Futures Markets
We consider the Brownian market model and the problem of expected utility maximization of terminal wealth. We, specifically, examine the problem of maximizing the utility of terminal wealth under the presence of transaction costs of a fund/agent investing in futures markets. We offer some preliminary remarks about statistical arbitrage strategies and we set the framework for futures markets, an...
متن کاملNo-arbitrage of second kind in countable markets with proportional transaction costs
Motivated by applications to bond markets, we propose a multivariate framework for discrete time financial markets with proportional transaction costs and a countable infinite number of tradable assets. We show that the no-arbitrage of second kind property (NA2 in short), introduced by [17] for finite dimensional markets, allows to provide a closure property for the set of attainable claims in ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Electronic Communications in Probability
سال: 2011
ISSN: 1083-589X
DOI: 10.1214/ecp.v16-1671