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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Bibliographic Details
Main Authors:	Guasoni P Lepinette E Rásonyi Miklós
Format:	Article
Published:	2012
Series:	FINANCE AND STOCHASTICS 16 No. 4
Subjects:	Matematika Statisztika és valószínűség
mtmt:	2422657
Online Access:	https://publikacio.ppke.hu/1945

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