No-arbitrage criteria for financial markets with efficient friction

We consider a multi-asset discrete-time model of a financial market with proportional transaction costs and efficient friction and prove necessary and sufficient conditions for the absence of arbitrage. Our main result is an extension of the Dalang-Morton-Willinger theorem. As an application, we establish a hedging theorem giving a description of the set of initial endowments which allows to super-replicate a given contingent claim.

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Year of publication:	2002-05-17
Authors:	(*), Christophe Stricker ; (), Miklós Rásonyi ; Kabanov, Yuri
Published in:	Finance and Stochastics. - Springer. - Vol. 6.2002, 3, p. 371-382
Publisher:	Springer
Subject:	Transaction costs \| arbitrage \| hedging \| solvency

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Extent:	application/pdf
Type of publication:	Article
Notes:	received: February 2001; final version received: September 2001
Classification:	G13 - Contingent Pricing; Futures Pricing ; G11 - Portfolio Choice
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005613422