Robust No Arbitrage Condition for Continuous-Time Models with Transaction Costs

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Date
2011
Dewey
Economie financière
Sujet
Transaction costs; Arbitrage; No Free Lunch; Consistent price systems; Set-valued processes; Martingales
JEL code
D23
Conference name
Kier-Tmu International Workshop On Financial Engineering 2010
Conference date
08-2010
Conference city
Tokyo
Conference country
Japon
Book title
Recent Advances In Financial Engineering 2010
Author
Kijima‎, Masaaki
Publisher
WORLD SCIENTIFIC
Year
2011
Pages number
260
ISBN
978-6-613-43406-7
URI
https://basepub.dauphine.fr/handle/123456789/9306
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Author
Lépinette, Emmanuel
Type
Communication / Conférence
Item number of pages
69-82
Abstract (EN)
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.