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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.issn1050-5164
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/14887
dc.language.isoenen
dc.subjectNo-arbitrage
dc.subjectBond market
dc.subjectTransaction costs
dc.subject.ddc519en
dc.titleNo-arbitrage of second kind in countable markets with proportional transaction costs
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.
dc.relation.isversionofjnlnameThe Annals of Applied Probability
dc.relation.isversionofjnlvol23
dc.relation.isversionofjnlissue2
dc.relation.isversionofjnldate2013
dc.relation.isversionofjnlpages427-454
dc.relation.isversionofdoihttp://dx.doi.org/10.1214/11-AAP825
dc.relation.isversionofjnlpublisherInstitute of Mathematical Statistics
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenon
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
dc.date.updated2020-05-20T04:44:34Z


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