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

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.

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Year of publication:	2011
Authors:	Lépinette-Denis, Emmanuel
Institutions:	Université Paris-Dauphine (Paris IX)
Subject:	Transaction costs \| Arbitrage \| No Free Lunch \| Consistent price systems \| Set-valued processes \| Martingales

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Series:	Economics Papers from University Paris Dauphine.
Type of publication:	Book / Working Paper
Notes:	Published in Recent Advances In Financial Engineering 2010,
Classification:	D23 - Organizational Behavior; Transaction Costs; Property Rights
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010707588