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dc.contributor.authorBouchard, Bruno
dc.contributor.authorTaflin, Erik
dc.date.accessioned2015-04-07T11:35:10Z
dc.date.available2015-04-07T11:35:10Z
dc.date.issued2013
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/14887
dc.language.isoenen
dc.subjectNo-arbitrageen
dc.subjectTransaction costsen
dc.subjectBond marketen
dc.subject.ddc519en
dc.titleNo-arbitrage of second kind in countable markets with proportional transaction costsen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenMotivated by applications to bond markets, we propose a multivariate framework for discrete time financial markets with proportional transaction costs and a countable infinite number of tradable assets. We show that the no-arbitrage of second kind property (NA2 in short), recently introduced by Rásonyi for finite-dimensional markets, allows us to provide a closure property for the set of attainable claims in a very natural way, under a suitable efficient friction condition. We also extend to this context the equivalence between NA2 and the existence of many (strictly) consistent price systems.en
dc.relation.isversionofjnlnameThe Annals of Applied Probability
dc.relation.isversionofjnlvol23en
dc.relation.isversionofjnlissue2en
dc.relation.isversionofjnldate2013
dc.relation.isversionofjnlpages427-454en
dc.relation.isversionofdoihttp://dx.doi.org/10.1214/11-AAP825en
dc.identifier.urlsitehttp://arxiv.org/abs/1008.3276v3en
dc.relation.isversionofjnlpublisherIMSen
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen


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