The fundamental theorem of asset pricing under transaction costs
This paper proves the fundamental theorem of asset pricing with transaction costs, when bid and ask prices follow locally bounded cA dlA g (right-continuous, left-limited) processes. The robust no free lunch with vanishing risk condition (RNFLVR) for simple strategies is equivalent to the existence...
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| Format: | Article |
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2012
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| Series: | FINANCE AND STOCHASTICS
16 No. 4 |
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| mtmt: | 2422657 |
| Online Access: | https://publikacio.ppke.hu/1945 |