NO-ARBITRAGE OF SECOND KIND IN COUNTABLE MARKETS WITH PROPORTIONAL TRANSACTION COSTS

• 成果类型: Article
• 署名作者: Bouchard, Bruno; Taflin, Erik
• 署名单位: Institut Polytechnique de Paris; ENSAE Paris; Universite PSL; Universite Paris-Dauphine; CY Cergy Paris Universite; Ecole Internationale des Sciences du Traitement de linformation
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/11-AAP825
• 发表日期: 2013
• 页码: 427-454
• 关键词: fundamental theorem; Contingent claims; bond portfolios; criteria

摘要

Motivated by applications to bond markets, we propose a multivariate framework for discrete time financial markets with proportional transaction costs and a countable infinite number of tradable assets. We show that the no-arbitrage of second kind property (NA2 in short), recently introduced by Rasonyi for finite-dimensional markets, allows us to provide a closure property for the set of attainable claims in a very natural way, under a suitable efficient friction condition. We also extend to this context the equivalence between NA2 and the existence of many (strictly) consistent price systems.