New_methods_in_the_arbitrage_theory_of_financial_markets_with_transaction_costs_Image_Marked资料.pdfVIP

New methods in the arbitrage theory of financial markets with transaction costs∗ Mikl´os R´asonyi Computer and Automation Institute of the Hungarian Academy of Sciences 1518 Budapest, P. O. Box 63., Hungary e-mail: rasonyi@sztaki.hu Summary. Using entirely new methods, we reprove the main result of [6]: strict absence of arbitrage is equivalent to the existence of a strictly consistent price system in markets with efficient proportional transaction costs in finite discrete time. We also improve on that result by considering a more general class of models.