No-Arbitrage Criteria for Financial Markets with Efficient Friction
摘要：
We consider a multi-asset discrete-time model of a financial market with proportional transaction costs and efficient friction and prove necessary and sufficient conditions for the absence of arbitrage. Our main result is an extension of the Dalang–Morton–Willinger theorem. As an application, we establish a hedging theorem giving a description of the set of initial endowments which allows to super-replicate a given contingent claim.
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关键词：
Transaction costs, arbitrage, hedging, solvency JEL Classification: G13, G11 Mathematics Subject Classification (1991): 60G44
DOI：
10.1007/s007800100062
被引量：
年份：
2002
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