Arbitrage Theory for Non Convex Financial Market Models
Arbitrage Theory for Non Convex Financial Market Models
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DOI：
10.2139/ssrn.2666440
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发表时间：
2015-09
期刊：
影响因子：
--
通讯作者：
E. Lépinette;T. Tran
中科院分区：
文献类型：
--
作者：
E. Lépinette;T. Tran
We propose a unified approach where a security market is described by a liquidation value process. This allows to extend the frictionless models of the classical theory as well as the recent proportional transaction costs models to a larger class of financial markets with transaction costs including non proportional trading costs. The usual tools from convex analysis however become inadequate to characterize the absence of arbitrage opportunities in non-convex financial market models. The natural question is to which extent the results of the classical arbitrage theory are still valid. Our contribution is a first attempt to characterize the absence of arbitrage opportunities in non convex financial market models.
