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dc.contributor.authorLépinette-Denis, Emmanuel
dc.contributor.authorKabanov, Yuri
dc.date.accessioned2010-07-22T15:11:08Z
dc.date.available2010-07-22T15:11:08Z
dc.date.issued2012
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/4652
dc.language.isoenen
dc.subjectConsistent price systemsen
dc.subjectNo Free Lunchen
dc.subjectArbitrageen
dc.subjectTransaction costsen
dc.subjectMartingalesen
dc.subjectSet-valued processesen
dc.subject.ddc332en
dc.subject.classificationjelG13en
dc.subject.classificationjelG11en
dc.titleConsistent Price Systems and Arbitrage Opportunities of the Second Kind in Models with Transaction Costsen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenIn contrast with the classical models of frictionless financial markets, market models with proportional transaction costs, even satisfying usual no-arbitrage properties, may admit arbitrage opportunities of the second kind. This means that there are self-financing portfolios with initial endowments laying outside the solvency region but ending inside. Such a phenomenon was discovered by M. R´asonyi in the discrete-time framework. In this note we consider a rather abstract continuous-time setting and prove necessary and sufficient conditions for the property which we call No Free Lunch of the 2nd Kind, NFL2. We provide a number of equivalent conditions elucidating, in particular, the financial meaning of the property B which appeared as an indispensable “technical” hypothesis in previous papers on hedging (super-replication) of contingent claims under transaction costs. We show that it is equivalent to another condition on the “richness” of the set of consistent price systems, close to the condition PCE introduced by R´asonyi. In the last section we deduce the R´asonyi theorem from our general result using specific features of discrete-time models.en
dc.relation.isversionofjnlnameFinance and Stochastics
dc.relation.isversionofjnlvol16
dc.relation.isversionofjnlissue1
dc.relation.isversionofjnldate2012
dc.relation.isversionofjnlpages135-154
dc.relation.isversionofdoihttp://dx.doi.org/10.1007/s00780-010-0144-6
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherSpringeren
dc.subject.ddclabelEconomie financièreen


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