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No-arbitrage in discrete-time markets with proportional transaction costs and general information structure

Bruno Bouchard
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Abstract

We discuss the no-arbitrage conditions in a general framework for discrete-time models of financial markets with proportional transaction costs and general information structure. We extend the results of Kabanov and al. (2002), Kabanov and al. (2003) and Schachermayer (2004) to the case where bid-ask spreads are not known with certainty. In the "no-friction" case, we retrieve the result of Kabanov and Stricker (2003).

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Bruno Bouchard. 2005-01-04. No-arbitrage in discrete-time markets with proportional transaction costs and general information structure. https://arxiv.org/abs/math/0501045

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