Consistent Price Systems under Model Uncertainty
Mathematical Finance
2014-08-26 v1 Probability
Abstract
We develop a version of the fundamental theorem of asset pricing for discrete-time markets with proportional transaction costs and model uncertainty. A robust notion of no-arbitrage of the second kind is defined and shown to be equivalent to the existence of a collection of strictly consistent price systems.
Keywords
Cite
@article{arxiv.1408.5510,
title = {Consistent Price Systems under Model Uncertainty},
author = {Bruno Bouchard and Marcel Nutz},
journal= {arXiv preprint arXiv:1408.5510},
year = {2014}
}
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19 pages