Consistent price systems under model uncertainty

被引：10

作者：

Bouchard, Bruno ^{[1
,2
]}

Nutz, Marcel ^{[3
,4
]}

机构：

[1] Univ Paris 09, CEREMADE, F-75775 Paris, France

[2] CREST ENSAE, Malakoff, France

[3] Columbia Univ, Dept Stat, New York, NY USA

[4] Columbia Univ, Dept Math, New York, NY 10027 USA

来源：

FINANCE AND STOCHASTICS | 2016年 / 20卷 / 01期

关键词：

Transaction costs; Arbitrage of the second kind; Consistent price system; Model uncertainty; NO-ARBITRAGE; TRANSACTION; MARKETS; THEOREM;

D O I：

10.1007/s00780-015-0286-7

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页码：83 / 98

页数：16

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