Napp, Clotilde; Jouini, Elyès - HAL - 2006
We study securities market models with fixed costs. We first characterize the absence of arbitrage opportunities and … present arbitrage opportunities in the absence of fixed costs. In particular, we prove that the quite striking result obtained … by Dybvig, Ingersoll, and Ross (1996), which asserts that under the assumption of absence of arbitrage long zero …