No-arbitrage criteria for financial markets with transaction costs and incomplete information |
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Authors: | Dimitri De Vallière Yuri Kabanov Christophe Stricker |
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Affiliation: | 1.Laboratoire de Mathématiques,Université de Franche-Comté,Besan?on cedex,France;2.Central Economics and Mathematics Institute,Moscow,Russia |
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Abstract: | 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. |
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Keywords: | Transaction costs Incomplete information Arbitrage Hedging |
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