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The Dalang–Morton–Willinger version of the fundamental theorem of asset pricing for the Bid-Ask financial market model

hal.structure.identifier
dc.contributor.authorJun, Zhao
hal.structure.identifierCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
dc.contributor.authorLépinette, Emmanuel
dc.date.accessioned2018-09-05T14:40:30Z
dc.date.available2018-09-05T14:40:30Z
dc.date.issued2018
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/17962
dc.language.isoenen
dc.subjectLiquidation valueen
dc.subjectBid and Ask pricesen
dc.subjectTransaction costsen
dc.subjectAbsence of arbitrage opportunitiesen
dc.subjectFinancial market modelsen
dc.subject.ddc519en
dc.titleThe Dalang–Morton–Willinger version of the fundamental theorem of asset pricing for the Bid-Ask financial market modelen
dc.typeDocument de travail / Working paper
dc.description.abstractenWe 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.en
dc.identifier.citationpages24en
dc.relation.ispartofseriestitleCahier de recherche CEREMADE, Université Paris-Dauphineen
dc.identifier.urlsitehttps://hal.archives-ouvertes.fr/hal-01666860en
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.identifier.citationdate2018
dc.description.ssrncandidatenonen
dc.description.halcandidatenonen
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.date.updated2018-09-05T14:37:16Z
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