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2016

Consistent price systems under model uncertainty

3 years 16 days ago
Consistent price systems under model uncertainty
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. Keywords Transaction Costs; Arbitrage of Second Kind; Consistent Price System; Model Uncertainty AMS 2010 Subject Classification 60G42; 91B28; 93E20; 49L20
Bruno Bouchard, Marcel Nutz
Added 03 Apr 2016
Updated 03 Apr 2016
Type Journal
Year 2016
Where FS
Authors Bruno Bouchard, Marcel Nutz
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