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Article Dans Une Revue Finance and Stochastics Année : 2012

The Fundamental Theorem of Asset Pricing Under Transaction Costs

Résumé

This paper proves the Fundamental Theorem of Asset Pricing with transaction costs, when bid and ask prices follow locally bounded cadlag (right-continuous, left-limited) processes. The Robust No Free Lunch with Vanishing Risk (RNFLVR) condition for simple strategies is equivalent to the existence of a strictly consistent price system (SCPS). This result relies on a new notion of admissibility, which reflects future liquidation opportunities. The (RNFLVR) condition implies that admissible strategies are predictable processes of finite variation.
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Dates et versions

hal-00700844 , version 1 (24-05-2012)

Identifiants

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Paolo Guasoni, Emmanuel Lépinette, Miklos Rasonyi. The Fundamental Theorem of Asset Pricing Under Transaction Costs. Finance and Stochastics, 2012, pp.Online First. ⟨10.1007/s00780-012-0185-0⟩. ⟨hal-00700844⟩
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