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The fundamental theorem of asset pricing under transaction costs

hal.structure.identifier
dc.contributor.authorGuasoni, Paolo*
hal.structure.identifier
dc.contributor.authorLépinette, Emmanuel*
hal.structure.identifier
dc.contributor.authorRásonyi, Miklós*
dc.date.accessioned2012-05-30T13:54:07Z
dc.date.available2012-05-30T13:54:07Z
dc.date.issued2012
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/9300
dc.language.isoenen
dc.subjectArbitrageen
dc.subjectFundamental Theorem of Asset Pricingen
dc.subjectTransaction Costsen
dc.subjectAdmissible Strategiesen
dc.subjectFinite Variationen
dc.subject.ddc519en
dc.subject.classificationjelG12
dc.titleThe fundamental theorem of asset pricing under transaction costsen
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherSchool of Mathematics, University of Edinburgh;Royaume-Uni
dc.contributor.editoruniversityotherMTA SZTAKI, Institute for Computer Science and Control;Hongrie
dc.contributor.editoruniversityotherDepartment of Mathematics and Statistics, Boston University;États-Unis
dc.contributor.editoruniversityotherSchool of Mathematical Sciences, Dublin City University,;Irlande
dc.description.abstractenThis paper proves the fundamental theorem of asset pricing with transaction costs, when bid and ask prices follow locally bounded càdlàg (right-continuous, left-limited) processes. The robust no free lunch with vanishing risk condition (RNFLVR) for simple strategies is equivalent to the existence of a strictly consistent price system (SCPS). This result relies on a new notion of admissibility, which reflects future liquidation opportunities. The RNFLVR condition implies that admissible strategies are predictable processes of finite variation. The Appendix develops an extension of the familiar Stieltjes integral for càdlàg integrands and finite-variation integrators, which is central to modelling transaction costs with discontinuous prices.en
dc.relation.isversionofjnlnameFinance and Stochastics
dc.relation.isversionofjnlvol16
dc.relation.isversionofjnlissue4
dc.relation.isversionofjnldate2012
dc.relation.isversionofjnlpages741-777
dc.relation.isversionofdoihttp://dx.doi.org/10.1007/s00780-012-0185-0en
dc.identifier.urlsitehttp://hal.archives-ouvertes.fr/hal-00700844en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherSpringeren
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
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