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A complement to the Grigoriev theorem for the Kabanov model

hal.structure.identifierCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
dc.contributor.authorLépinette, Emmanuel
hal.structure.identifierDepartment of Polymer Science and Engineering [USTB]
dc.contributor.authorZhao, Jun
dc.date.accessioned2022-02-15T13:08:46Z
dc.date.available2022-02-15T13:08:46Z
dc.date.issued2020
dc.identifier.issn0040-585X
dc.identifier.urihttps://basepub.dauphine.psl.eu/handle/123456789/22629
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.typeArticle accepté pour publication ou publié
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.relation.isversionofjnlnameTheory of Probability and Its Applications
dc.relation.isversionofjnlvol65en
dc.relation.isversionofjnlissue2en
dc.relation.isversionofjnldate2020-08
dc.relation.isversionofjnlpages322–329en
dc.relation.isversionofdoi10.1137/S0040585X97T989969en
dc.relation.isversionofjnlpublisherSIAM - Society for Industrial and Applied Mathematicsen
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.relation.forthcomingnonen
dc.description.ssrncandidatenon
dc.description.halcandidatenonen
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewedouien
dc.date.updated2022-02-15T13:05:55Z
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hal.author.functionaut


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