No arbitrage and closure results for trading cones with transaction costs

  title={No arbitrage and closure results for trading cones with transaction costs},
  author={Saul Jacka and Abdelkarem Berkaoui and Jon Warren},
  journal={Finance and Stochastics},
In this paper, we consider trading with proportional transaction costs as in Schachermayer’s paper of 2004. We give a necessary and sufficient condition for A, the cone of claims attainable from zero endowment, to be closed. Then we show how to define a revised set of trading prices in such a way that firstly, the corresponding cone of claims attainable for zero endowment, Ã, does obey the Fundamental Theorem of Asset Pricing and secondly, if à is arbitrage-free then it is the closure of A. We… CONTINUE READING

From This Paper

Topics from this paper.
3 Citations
18 References
Similar Papers


Publications referenced by this paper.
Showing 1-10 of 18 references

On low dimensional case in the fundamental asset pricing theorem with transaction costs

  • P. Grigoriev
  • Statistics and Decisions,
  • 2005
Highly Influential
4 Excerpts


  • F. Delbaen
  • M. Kabanov and E. Valkeila: Hedging under…
  • 2002
Highly Influential
4 Excerpts

Contribution á l’analyse convexe

  • M. Valadier
  • 1970
Highly Influential
4 Excerpts

Hedging under transaction costs in currency markets : a discrete - time model

  • K. Sandmann, P. J. Schönbucher, Y. M. Kabanov F. Delbaen, E. Valkeila
  • Math . Finance
  • 2002


  • P. Artzner
  • Delbaen, J.-M. Eber and D. Heath
  • 1999

Similar Papers

Loading similar papers…