Guasoni, Paolo; Lépinette, Emmanuel; Rásonyi, Miklós - In: Finance and Stochastics 16 (2012) 4, pp. 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...