Guasoni, Paolo; Lépinette-Denis, Emmanuel; Rásonyi, … - Université Paris-Dauphine (Paris IX) - 2012
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...