Prospective strict no-arbitrage and the fundamental theorem of asset pricing under transaction costs

DOI10.1007/S00780-019-00403-5MaRDI QIDQ2274232zbMATH OpenOpenAlexWikidataFDO

Authors Christoph Kühn, Alexander Molitor

Publication date 19 September 2019

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

Full work available at URL https://arxiv.org/abs/1811.11621

zbMATH Keywords

fundamental theorem of asset pricingproportional transaction costsarbitrage

Mathematics Subject Classification ID

Financial markets (91G15) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Abstract: In discrete time markets with proportional transaction costs, Schachermayer (2004) shows that robust no-arbitrage is equivalent to the existence of a strictly consistent price system. In this paper, we introduce the concept of prospective strict no-arbitrage that is a variant of the strict no-arbitrage property from Kabanov, R'asonyi, and Stricker (2002). The prospective strict no-arbitrage condition is slightly weaker than robust no-arbitrage, and it implies that the set of portfolios attainable from zero initial endowment is closed in probability. A weak version of prospective strict no-arbitrage turns out to be equivalent to the existence of a consistent price system. In contrast to the fundamental theorem of asset pricing of Schachermayer (2004), the consistent frictionless prices may lie on the boundary of the bid-ask spread. On the technical level, a crucial difference to Schachermayer (2004) and Kabanov-R'asonyi-Stricker (2003) is that we prove closedness without having at hand that the null-strategies form a linear space.

Recommendations

• The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
• Consistent price systems under model uncertainty
• Fundamental theorem of asset pricing under transaction costs and model uncertainty
• The fundamental theorem of asset pricing under transaction costs
• Fundamental theorem of asset pricing under fixed and proportional transaction costs

Cites work

• scientific article; zbMATH DE number 1619455 (Why is no real title available?)
• A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time
• A complement to the Grigoriev theorem for the Kabanov model
• A general version of the fundamental theorem of asset pricing
• Constructive No-Arbitrage Criterion under Transaction Costs in the Case of Finite Discrete Time
• Equivalent martingale measures and no-arbitrage in stochastic securities market models
• How local in time is the no-arbitrage property under capital gains taxes?
• Infinite dimensional analysis. A hitchhiker's guide.
• Markets with transaction costs. Mathematical theory.
• Martingales and stochastic integrals in the theory of continuous trading
• No arbitrage and closure results for trading cones with transaction costs
• No-arbitrage criteria for financial markets with transaction costs and incomplete information
• No-arbitrage in discrete-time markets with proportional transaction costs and general information structure
• Non-arbitrage criteria for financial markets with efficient friction
• On low dimensional case in the fundamental asset pricing theorem with transaction costs
• On the closedness of sums of convex cones in \(L^0\) and the robust no-arbitrage property
• The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
• The Harrison-Pliska arbitrage pricing theorem under transaction costs
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• The mathematics of arbitrage
• Variational Analysis

Cited in

(9)

• NO MARGINAL ARBITRAGE OF THE SECOND KIND FOR HIGH PRODUCTION REGIMES IN DISCRETE TIME PRODUCTION–INVESTMENT MODELS WITH PROPORTIONAL TRANSACTION COSTS
• On the closedness of sums of convex cones in \(L^0\) and the robust no-arbitrage property
• scientific article; zbMATH DE number 1810129 (Why is no real title available?)
• On the market viability under proportional transaction costs
• On the quasi-sure superhedging duality with frictions
• FTAP in finite discrete time with transaction costs by utility maximization
• scientific article; zbMATH DE number 1855611 (Why is no real title available?)
• Dynamic Arbitrage-Free Asset Pricing with Proportional Transaction Costs
• MODEL-FREE WEAK NO-ARBITRAGE AND SUPERHEDGING UNDER TRANSACTION COSTS BEYOND EFFICIENT FRICTION

This page was built for publication: Prospective strict no-arbitrage and the fundamental theorem of asset pricing under transaction costs

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2274232)