Fundamental Theorem of Asset Pricing Under Transaction Costs and Model Uncertainty

DOI10.1287/moor.2015.0767zbMath1364.91158arXiv1309.1420OpenAlexW3124318526MaRDI QIDQ3186542

Yuchong Zhang, Erhan Bayraktar

Publication date: 10 August 2016

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1309.1420

zbMATH Keywords

transaction costsfundamental theorem of asset pricingmartingale selection problemnondominated collection of probability measures

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Descriptive set theory (03E15) Microeconomic theory (price theory and economic markets) (91B24) Actuarial science and mathematical finance (91G99)

Related Items (14)

Pathwise superhedging under proportional transaction costs ⋮ Perturbation analysis of sub/super hedging problems ⋮ Super‐replication with transaction costs under model uncertainty for continuous processes ⋮ Pointwise Arbitrage Pricing Theory in Discrete Time ⋮ MODEL-FREE WEAK NO-ARBITRAGE AND SUPERHEDGING UNDER TRANSACTION COSTS BEYOND EFFICIENT FRICTION ⋮ Quantile hedging in a semi-static market with model uncertainty ⋮ Unnamed Item ⋮ Arbitrage-free modeling under Knightian uncertainty ⋮ On the quasi-sure superhedging duality with frictions ⋮ A guaranteed deterministic approach to superhedging: financial market model, trading constraints, and the Bellman-Isaacs equations ⋮ A unified framework for robust modelling of financial markets in discrete time ⋮ Utility Maximization with Proportional Transaction Costs Under Model Uncertainty ⋮ Model Uncertainty: A Reverse Approach ⋮ Consistent price systems under model uncertainty

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• The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
• On low dimensional case in the fundamental asset pricing theorem with transaction costs
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