
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
View/ Open
Type
Document de travail / Working paperExternal document link
https://hal.archives-ouvertes.fr/hal-01666860Date
2018Series title
Cahier de recherche CEREMADE, Université Paris-DauphinePages
24
Metadata
Show full item recordAuthor(s)
Jun, ZhaoLépinette, Emmanuel
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 / Keywords
Liquidation value; Bid and Ask prices; Transaction costs; Absence of arbitrage opportunities; Financial market modelsRelated items
Showing items related by title and author.
-
Lépinette, Emmanuel; Zhao, Jun (2020) Article accepté pour publication ou publié
-
Guasoni, Paolo; Lépinette, Emmanuel; Rásonyi, Miklós (2012) Article accepté pour publication ou publié
-
Zhao, Jun; Lépinette, Emmanuel; Zhao, Peibiao (2019-05) Document de travail / Working paper
-
Gresse, Carole (2006) Article accepté pour publication ou publié
-
Zhao, Jun; Lépinette, Emmanuel; Zhao, Peibiao (2019) Article accepté pour publication ou publié