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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Bibliográfiai részletek
Szerzők: Guasoni P
Lepinette E
Rásonyi Miklós
Dokumentumtípus: Cikk
Megjelent: 2012
Sorozat:FINANCE AND STOCHASTICS 16 No. 4
Tárgyszavak:
mtmt:2422657
Online Access:https://publikacio.ppke.hu/1945
Leíró adatok
Tartalmi kivonat: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 of a strictly consistent price system (SCPS). This result relies on a new notion of admissibility, which reflects future liquidation opportunities. The RNFLVR condition implies that admissible strategies are predictable processes of finite variation. The Appendix develops an extension of the familiar Stieltjes integral for cA dlA g integrands and finite-variation integrators, which is central to modelling transaction costs with discontinuous prices.
Terjedelem/Fizikai jellemzők:741-777
ISSN:0949-2984