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The fundamental theorem of asset pricing under transaction costs

Guasoni, Paolo; Lépinette-Denis, Emmanuel; Rásonyi, … - Université Paris-Dauphine (Paris IX) - 2012

This paper proves the fundamental theorem of asset pricing with transaction costs, when bid and ask prices follow locally bounded càdlàg (right-continuous, left-limited) processes. The robust no free lunch with vanishing risk condition (RNFLVR) for simple strategies is equivalent to the...

Persistent link: https://www.econbiz.de/10011074121

No-arbitrage in discrete-time markets with proportional transaction costs and general information structure

Bouchard, Bruno - Université Paris-Dauphine (Paris IX) - 2006

We discuss the no-arbitrage conditions in a general framework for discrete-time models of financial markets with …

Persistent link: https://www.econbiz.de/10011073442

A super-replication theorem in Kabanov’s model of transaction costs

Campi, Luciano; Schachermayer, Walter - Université Paris-Dauphine (Paris IX) - 2006

We prove a general version of the super-replication theorem, which applies to Kabanov’s model of foreign exchange markets under proportional transaction costs. The market is described by a matrix-valued càdlàg bid-ask process $$(\Pi_t)_{t\in [0,T]}$$ evolving in continuous time. We propose a...

Persistent link: https://www.econbiz.de/10011073697

Efficient portfolios in financial markets with proportional transaction costs

Campi, Luciano; Jouini, Elyès; Porte, Vincent - Université Paris-Dauphine (Paris IX) - 2013

In this article, we characterize efficient portfolios, i.e. portfolios which are optimal for at least one rational agent, in a very general financial market model with proportional transaction costs. In our setting, transaction costs may be random, time-dependent, have jumps and the preferences...

Persistent link: https://www.econbiz.de/10010708373

Direct and Indirect Effects of Index ETFs on Spot-Futures Pricing and Liquidity : Evidence from the CAC 40 Index

Gresse, Carole; Deville, Laurent; De Séverac, Béatrice - Université Paris-Dauphine (Paris IX) - 2014

shares being used in arbitrage trades or by the indirect effect of ETF trading improving the liquidity of index stocks in the …

Persistent link: https://www.econbiz.de/10010799319

Consistent Price Systems and Arbitrage Opportunities of the Second Kind in Models with Transaction Costs

Lépinette-Denis, Emmanuel; Kabanov, Yuri - Université Paris-Dauphine (Paris IX) - 2012

costs, even satisfying usual no-arbitrage properties, may admit arbitrage opportunities of the second kind. This means that …

Persistent link: https://www.econbiz.de/10011073059

Arbitrage, duality and asset equilibria

Dana, Rose-Anne; Le Van, Cuong - Université Paris-Dauphine (Paris IX) - 2000

In finite dimensional economies, it was proven by Werner [Werner, J., 1987. Arbitrage and the existence of competitive … equilibrium. Econometrica 55, 1403–1418.], that if there exists a no-arbitrage price (equivalently, under standard assumptions on … “of no-arbitrage price”. We define “fair utility weight vectors” as utility weight vectors for which the representative …

Persistent link: https://www.econbiz.de/10011073126

Investment and arbitrage opportunities with short sales constraints

Jouini, Elyès; Carassus, Laurence - Université Paris-Dauphine (Paris IX) - 1998

absence of arbitrage opportunities is equivalent to the existence of a discount rate such that the net present value of all …

Persistent link: https://www.econbiz.de/10011073130

Arbitrage and state price deflators in a general intertemporal framework

Napp, Clotilde; Jouini, Elyès - Université Paris-Dauphine (Paris IX) - 2005

In securities markets, the characterization of the absence of arbitrage by the existence of state price deflators is ….M., 1981. Arbitrage and equilibrium in economies with infinitely many commodities. Journal of Mathematical Economics 8, 15 …-like condition”.We apply this result to the characterization of the no-arbitrage assumption in a general intertemporal framework. …

Persistent link: https://www.econbiz.de/10011073862

The Introduction of the CAC40 Master Unit and the CAC40 Index Spot-Futures Pricing Relationship

Gresse, Carole; Deville, Laurent; de Séverac, Béatrice - Université Paris-Dauphine (Paris IX) - 2006

Persistent link: https://www.econbiz.de/10010706882