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dc.contributor.authorLépinette, Emmanuel
dc.contributor.authorZhao, Jun
dc.date.accessioned2019-02-18T09:42:07Z
dc.date.available2019-02-18T09:42:07Z
dc.date.issued2018
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/18447
dc.language.isoenen
dc.subjectFinancial market modelsen
dc.subjectLiquidation valueen
dc.subjectTransaction costsen
dc.subjectAbsence of arbitrage opportunitiesen
dc.subjectand phrases: Proportional transaction costsen
dc.subjectBid and ask pricesen
dc.subjectConsis-tent price systemsen
dc.subject.ddc519en
dc.titleA complement to the Grigoriev theorem for the Kabanov modelen
dc.typeDocument de travail / Working paper
dc.description.abstractenWe provide an equivalent characterisation of absence of arbitrage opportunity NA for the Bid and Ask financial market model analog to the Dalang--Morton--Willinger theorem formulated for discrete-time financial market models without friction. This result completes the Grigoriev theorem for conic models in the two dimensional case by showing that the set of all terminal liquidation values is closed under NA..en
dc.identifier.citationpages11en
dc.relation.ispartofseriestitleCahier de recherche CEREMADE, Université Paris-Dauphineen
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.identifier.citationdate2018-11
dc.description.ssrncandidatenonen
dc.description.halcandidatenonen
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.date.updated2019-02-18T09:30:37Z
hal.person.labIds60
hal.person.labIds133558


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