Consistent price systems under model uncertainty

DOI10.1007/S00780-015-0286-7MaRDI QIDQ261917zbMATH OpenOpenAlexFDO

Authors Bruno Bouchard, Marcel Nutz

Publication date 29 March 2016

Published in Finance and Stochastics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1408.5510

zbMATH Keywords

model uncertaintytransaction costsfundamental theorem of asset pricingrandom setsset-valued stochastic processessolvency cone

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Actuarial science and mathematical finance (91G99) Optimal stochastic control (93E20)

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.

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Cited in

(20)

• Committed versus contingent pricing under cost uncertainty
• Utility maximization with proportional transaction costs under model uncertainty
• A conditional version of the second fundamental theorem of asset pricing in discrete time
• On the quasi-sure superhedging duality with frictions
• Sticky Continuous Processes have Consistent Price Systems
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• MODEL-FREE WEAK NO-ARBITRAGE AND SUPERHEDGING UNDER TRANSACTION COSTS BEYOND EFFICIENT FRICTION

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