Arbitrage and Hedging in model-independent markets with frictions
classification
💱 q-fin.MF
keywords
pricesuperhedgingarbitragetheoremassetbid-askclaimcoincides
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We provide a Fundamental Theorem of Asset Pricing and a Superhedging Theorem for a model independent discrete time financial market with proportional transaction costs. We consider a probability-free version of the Robust No Arbitrage condition introduced in Schachermayer ['04] and show that this is equivalent to the existence of Consistent Price Systems. Moreover, we prove that the superhedging price for a claim g coincides with the frictionless superhedging price of g for a suitable process in the bid-ask spread.
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