
A complement to the Grigoriev theorem for the Kabanov model
Lépinette, Emmanuel; Zhao, Jun (2020), A complement to the Grigoriev theorem for the Kabanov model, Theory of Probability and Its Applications, 65, 2, p. 322–329. 10.1137/S0040585X97T989969
Voir/Ouvrir
Type
Article accepté pour publication ou publiéDate
2020Nom de la revue
Theory of Probability and Its ApplicationsVolume
65Numéro
2Éditeur
SIAM - Society for Industrial and Applied Mathematics
Pages
322–329
Identifiant publication
Métadonnées
Afficher la notice complèteAuteur(s)
Lépinette, EmmanuelCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Zhao, Jun
Department of Polymer Science and Engineering [USTB]
Résumé (EN)
We 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.Mots-clés
Financial market models; Liquidation value; Transaction costs; Absence of arbitrage opportunities; and phrases: Proportional transaction costs; Bid and ask prices; Consis-tent price systemsPublications associées
Affichage des éléments liés par titre et auteur.
-
Jun, Zhao; Lépinette, Emmanuel (2018) Document de travail / Working paper
-
Zhao, Jun; Lépinette, Emmanuel; Zhao, Peibiao (2019-05) Document de travail / Working paper
-
Zhao, Jun; Lépinette, Emmanuel; Zhao, Peibiao (2019) Article accepté pour publication ou publié
-
Lépinette, Emmanuel; Zhao, Jun (2022) Article accepté pour publication ou publié
-
Lépinette, Emmanuel; Vu, Duc Thinh (2022) Document de travail / Working paper