The fundamental theorem of asset pricing under transaction costs

@article{Guasoni2012TheFT,
  title={The fundamental theorem of asset pricing under transaction costs},
  author={Paolo Guasoni and Emmanuel L{\'e}pinette and Mikl{\'o}s R{\'a}sonyi},
  journal={Finance and Stochastics},
  year={2012},
  volume={16},
  pages={741-777}
}
This paper proves the fundamental theorem of asset pricing with transaction costs, when bid and ask prices follow locally bounded càdlàg (right-continuous, left-limited) processes.The robust no free lunch with vanishing risk condition (RNFLVR) for simple strategies is equivalent to the existence of a strictly consistent price system (SCPS). This result relies on a new notion of admissibility, which reflects future liquidation opportunities. The RNFLVR condition implies that admissible… Expand
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