Consistent Price Systems under Model Uncertainty

Bruno Bouchard and Marcel Nutz

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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.

Date: 2014-08
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Citations: View citations in EconPapers (4)

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