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dc.contributor.authorJouini, Elyès
HAL ID: 6654
dc.contributor.authorNapp, Clotilde
HAL ID: 741006
ORCID: 0000-0002-7008-5949
dc.date.accessioned2011-01-28T15:05:44Z
dc.date.available2011-01-28T15:05:44Z
dc.date.issued2001-07
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/5591
dc.language.isoenen
dc.subjectArbitrageen
dc.subjectinvestment opportunitiesen
dc.subjectnuméraireen
dc.subjectmarket frictionsen
dc.subjectYan's Theoremen
dc.subject.ddc332en
dc.subject.classificationjelG19en
dc.subject.classificationjelC60en
dc.titleArbitrage and investment opportunitiesen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWe consider a model in which any investment opportunity is described in terms of cash flows. We don't assume that there is a numéraire, enabling investors to transfer wealth through time; the time horizon is not supposed to be finite and the investment opportunities are not specifically related to the buying and selling of securities on a financial market. In this quite general framework, we show that the assumption of no-arbitrage is essentially equivalent to the existence of a "discount process" under which the "net present value" of any available investment is nonpositive. Since most market imperfections, such as short sale constraints, convex cone constraints, proportional transaction costs, no borrowing or different borrowing and lending rates, etc., can fit in our model for a specific set of investments, we then obtain a characterization of the no-arbitrage condition in these imperfect models, from which it is easy to derive pricing formulae for contingent claims.en
dc.relation.isversionofjnlnameFinance and Stochastics
dc.relation.isversionofjnlvol5en
dc.relation.isversionofjnlissue3en
dc.relation.isversionofjnldate2001-07
dc.relation.isversionofjnlpages305-325en
dc.relation.isversionofdoihttp://dx.doi.org/10.1007/PL00013537en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherSpringeren
dc.subject.ddclabelEconomie financièreen


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