The Dalang–Morton–Willinger version of the fundamental theorem of asset pricing for the Bid-Ask financial market model
Jun, Zhao; Lépinette, Emmanuel (2018), The Dalang–Morton–Willinger version of the fundamental theorem of asset pricing for the Bid-Ask financial market model. https://basepub.dauphine.fr/handle/123456789/17962
TypeDocument de travail / Working paper
External document linkhttps://hal.archives-ouvertes.fr/hal-01666860
Series titleCahier de recherche CEREMADE, Université Paris-Dauphine
MetadataShow full item record
CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Abstract (EN)We provide an equivalent characterisation of absence of arbitrage opportunity NA for the Bid and Ask financial market model analog to the Dalang--Morton--Willinger theorem formulated for discrete-time financial market models without friction. This result completes the Grigoriev theorem for conic models in the two dimensional case by showing that the set of all terminal liquidation values is closed under NA.
Subjects / KeywordsLiquidation value; Bid and Ask prices; Transaction costs; Absence of arbitrage opportunities; Financial market models
Showing items related by title and author.