Date
2011
Indexation documentaire
Economie financière
Subject
Transaction costs; Arbitrage; No Free Lunch; Consistent price systems; Set-valued processes; Martingales
Code JEL
D23
Titre du colloque
Kier-Tmu International Workshop On Financial Engineering 2010
Date du colloque
08-2010
Ville du colloque
Tokyo
Pays du colloque
Japon
Titre de l'ouvrage
Recent Advances In Financial Engineering 2010
Auteur
Kijima, Masaaki
Nom de l'éditeur
WORLD SCIENTIFIC
Année
2011
Nombre total de pages
260
ISBN
978-6-613-43406-7
Auteur
Lépinette, Emmanuel
Type
Communication / Conférence
Nombre de pages du document
69-82
Résumé en anglais
We extend the Robust No Free Lunch (RNFL) theorem formulated for discrete-time models with proportional transaction costs to general continuous-time settings. We prove that the (RNFL) condition is equivalent to the existence of a strictly consistent price system, i.e. a martingale evolving in the interior of the solvency cone of all portfolio positions which can be changed into positive ones paying transaction costs.
