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Small transaction costs, absence of arbitrage and consistent price systems

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Abstract

The aim of this note is to establish a criterion of absence of arbitrage opportunities under small transaction costs for a family of multi-asset models of financial markets.

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Authors and Affiliations

  1. Central Economics and Mathematics Institute, Moscow, Russia

    Yuri Kabanov

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

    Julien Grépat & Yuri Kabanov

Authors
  1. Julien Grépat
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  2. Yuri Kabanov
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Corresponding author

Correspondence to Yuri Kabanov.

Additional information

Dedicated to Walter Schachermayer on the occasion of his 60th anniversary.

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Grépat, J., Kabanov, Y. Small transaction costs, absence of arbitrage and consistent price systems. Finance Stoch 16, 357–368 (2012). https://doi.org/10.1007/s00780-011-0164-x

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  • DOI: https://doi.org/10.1007/s00780-011-0164-x

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