Consistent price systems under model uncertainty

We develop a version of the fundamental theorem of asset pricing for discrete-time markets with proportional transaction costs and model uncertainty. A robust notion of no-arbitrage of the second kind is defined and shown to be equivalent to the existence of a collection of strictly consistent price systems. Keywords Transaction Costs; Arbitrage of Second Kind; Consistent Price System; Model Uncertainty AMS 2010 Subject Classification 60G42; 91B28; 93E20; 49L20

• Type: Journal
• Year: 2016
• Where: FS
• Authors: Bruno Bouchard, Marcel Nutz
• Keywords: FPGA, FS 2016