Consistent price systems under model uncertainty

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• 作者：Bruno Bouchard ; Marcel Nutz
• 关键词：Transaction costs ; Arbitrage of the second kind ; Consistent price system ; Model uncertainty ; 60G42 ; 91B25 ; 93E20 ; 49L20 ; G13
• 刊名：Finance and Stochastics
• 出版年：2016
• 出版时间：January 2016
• 年：2016
• 卷：20
• 期：1
• 页码：83-98
• 全文大小：1,041 KB
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• 作者单位：Bruno Bouchard (1) (2)
  Marcel Nutz (3)
  
  1. CEREMADE, Université Paris Dauphine, Paris, France
  2. CREST, ENSAE, Malakoff, France
  3. Depts. of Statistics and Mathematics, Columbia University, New York, USA
  
• 刊物类别：Mathematics and Statistics
• 刊物主题：Mathematics
  Quantitative Finance
  Finance and Banking
  Statistics for Business, Economics, Mathematical Finance and Insurance
  Economic Theory
  Probability Theory and Stochastic Processes
  
• 出版者：Springer Berlin / Heidelberg
• ISSN：1432-1122

文摘

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 the second kind Consistent price system Model uncertainty