Consistent Price Systems under Model Uncertainty
classification
💱 q-fin.MF
math.PR
keywords
consistentmodelpricesystemsuncertaintyassetcollectioncosts
read the original 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.
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