This paper proves the Fundamental Theorem of Asset Pricing with transaction costs, when bid and ask prices follow locally bounded cadlag (right-continuous, left-limited) processes. The Robust No Free Lunch with Vanishing Risk (RNFLVR) condition for simple strategies is equivalent to the...

In the modern version of Arbitrage Pricing Theory suggested by Kabanov and Kramkov the fundamental fi nancially meaningful concept is an asymptotic arbitrage. The 'real world' large market is represented by a sequence of 'models' and, though each of them is arbitrage free, investors may obtain...