<Para ID="Par1">We give characterizations of asymptotic arbitrage of the first and second kind and of strong asymptotic arbitrage for a sequence of financial markets with small proportional transaction costs λ <Subscript> n </Subscript> on market n, in terms of contiguity properties of sequences of equivalent probability measures...</subscript></para>

The goal of this work is to study binary market models with transaction costs, and to characterize their arbitrage opportunities. It has been already shown that the absence of arbitrage is related to the existence of λ-consistent price systems (λ-CPS), and, for this reason, we aim to provide...

The main result of the paper is a version of the fundamental theorem of asset pricing (FTAP) for large financial markets based on an asymptotic concept of no market free lunch for monotone concave preferences. The proof uses methods from the theory of Orlicz spaces. Moreover, various notions of...