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No-arbitrage criteria for financial markets with transaction costs and incomplete information

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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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Authors and Affiliations

  1. Laboratoire de Mathématiques, Université de Franche-Comté, 16 Route de Gray, 25030, Besançon cedex, France

    Dimitri De Vallière, Yuri Kabanov & Christophe Stricker

  2. Central Economics and Mathematics Institute, Moscow, Russia

    Yuri Kabanov

Authors
  1. Dimitri De Vallière
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  2. Yuri Kabanov
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  3. Christophe Stricker
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Correspondence to Yuri Kabanov.

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De Vallière, D., Kabanov, Y. & Stricker, C. No-arbitrage criteria for financial markets with transaction costs and incomplete information. Finance Stoch 11, 237–251 (2007). https://doi.org/10.1007/s00780-006-0029-x

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  • DOI: https://doi.org/10.1007/s00780-006-0029-x

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