On the closedness of sums of convex cones in L0 and the robust no-arbitrage property

被引：0

作者：

Kabanov, Y

Rásonyi, M

Stricker, C

机构：

[1] Univ Franche Comte, Math Lab, F-25030 Besancon, France

[2] Cent Econ & Math Inst, Moscow, Russia

[3] Hungarian Acad Sci, Inst Comp & Automat, H-1111 Budapest, Hungary

来源：

FINANCE AND STOCHASTICS | 2003年 / 7卷 / 03期

关键词：

transaction costs; arbitrage; hedging; solvency;

D O I：

10.1007/s007800200089

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This note is a natural complement to our previous work where we studied no-arbitrage criteria for markets with efficient friction. We discuss, in our general geometric framework, the recent result of Walter Schachermayer on a necessary and sufficient condition for the existence of strictly consistent price systems and give its quick proof.

引用

页码：403 / 411

页数：9

共 12 条

[1] Hedging under transaction costs in currency markets: A discrete-time model [J].