Consistent price systems under model uncertainty

Bruno Bouchard () and Marcel Nutz ()

Finance and Stochastics, 2016, vol. 20, issue 1, 83-98

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. Copyright Springer-Verlag Berlin Heidelberg 2016

Keywords: Transaction costs; Arbitrage of the second kind; Consistent price system; Model uncertainty; 60G42; 91B25; 93E20; 49L20; G13 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (10)

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DOI: 10.1007/s00780-015-0286-7

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