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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 2007 Volume 52, Issue 1, Pages 41–59 (Mi tvp3)

This article is cited in 7 papers

Constructive no-arbitrage criterion under transaction costs in the case of finite discrete time

D. B. Rokhlin

Rostov State University

Abstract: We obtain a constructive criterion for robust no-arbitrage in discrete-time market models with transaction costs. This criterion is expressed in terms of the supports of the regular conditional upper distributions of the solvency cones. We also consider the model with a bank account. A method for construction of arbitrage strategies is proposed.

Keywords: robust no-arbitrage, transaction costs, arbitrage portfolios, measurable set-valued maps, supports of the regular conditional distributions.

Received: 15.11.2005
Revised: 08.02.2006

DOI: 10.4213/tvp3


 English version:
Theory of Probability and its Applications, 2008, 52:1, 93–107

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