The goal of this work is to study binary market models with transaction costs, and to characterize their arbitrage … opportunities. It has been already shown that the absence of arbitrage is related to the existence of λ-consistent price systems (λ … that in the transition phase "λ = λc" these sets are empty if and only if the frictionless market admits arbitrage …

The theory of asset pricing, which takes its roots in the Arrow-Debreu model (Theory of value [1959, chap. 7]), the … frictionless. The main result is that a price process is arbitrage free (or, equivalently, compatible with some equilibrium) if and … only if it is, when appropriately renormalized, a martingale for some equivalent probability measure. The theory of pricing …

for the existence of arbitrage opportunities or free lunches with vanishing risk, of the form of waiting to buy and … the discretisation chosen. Arbitrage examples are established where the continuous analogue is arbitrage-free under small … (1997) article proving arbitrage in fBm models. …