Consistent price systems under model uncertainty
نویسندگان
چکیده
منابع مشابه
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.
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ژورنال
عنوان ژورنال: Finance and Stochastics
سال: 2015
ISSN: 0949-2984,1432-1122
DOI: 10.1007/s00780-015-0286-7