Fundamental Theorem of Asset Pricing Under Transaction Costs and Model Uncertainty
Author | : Erhan Bayraktar |
Publisher | : |
Total Pages | : 24 |
Release | : 2015 |
ISBN-10 | : OCLC:1308397124 |
ISBN-13 | : |
Rating | : 4/5 (24 Downloads) |
Download or read book Fundamental Theorem of Asset Pricing Under Transaction Costs and Model Uncertainty written by Erhan Bayraktar and published by . This book was released on 2015 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: We prove the Fundamental Theorem of Asset Pricing for a discrete time financial market where trading is subject to proportional transaction cost and the asset price dynamic is modeled by a family of probability measures, possibly non-dominated.Using a backward-forward scheme, we show that when the market consists of a money market account and a single stock, no-arbitrage in a quasi-sure sense is equivalent to the existence of a suitable family of consistent price systems. We also show that when the market consists of multiple dynamically traded assets and satisfies efficient friction, strict no-arbitrage in a quasi-sure sense is equivalent to the existence of a suitable family of strictly consistent price systems.