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This paper proves the Fundamental Theorem of Asset Pricing with transaction costs, when bid and ask prices follow locally bounded c`adì ag (right-continuous, left-limited) processes. The Robust No Free Lunch with Vanishing Risk (RNFLVR) condition for simple strategies is equivalent to the existence of a strictly consistent price system (SCPS). This result… (More)

This paper is dedicated to the replication of a convex contingent claim h(S 1) in a financial market with frictions, due to deterministic order books or regulatory constraints. The corresponding transaction costs rewrite as a non linear function G of the volume of traded assets, with G (0) > 0. For a stock with Black-Scholes mid-price dynamics, we exhibit… (More)

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