首页 | 本学科首页   官方微博 | 高级检索  
     


No-arbitrage criteria for financial markets with transaction costs and incomplete information
Authors:Dimitri De Vallière  Yuri Kabanov  Christophe Stricker
Affiliation:1.Laboratoire de Mathématiques,Université de Franche-Comté,Besan?on cedex,France;2.Central Economics and Mathematics Institute,Moscow,Russia
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.
Keywords:Transaction costs  Incomplete information  Arbitrage  Hedging
本文献已被 SpringerLink 等数据库收录!
设为首页 | 免责声明 | 关于勤云 | 加入收藏

Copyright©北京勤云科技发展有限公司  京ICP备09084417号