Consistent Price Systems under Model Uncertainty

Bruno Bouchard (1, 2) , Marcel Nutz (3)

1 CEREMADE - CEntre de REcherches en MAthématiques de la DEcision
2 CREST - Centre de Recherche en Économie et Statistique
3 Dept. of Mathematics

We develop a version of the fundamental theorem of asset pricing for discrete-time markets with proportional transaction costs and model uncertainty. A robust notion of no-arbitrage of the second kind is defined and shown to be equivalent to the existence of a collection of strictly consistent price systems.

Mots clés: Consistent Price System; Transaction Costs; Arbitrage of Second Kind; Model Uncertainty

Domaines: Probabilités [math.PR]

Bruno Bouchard, Marcel Nutz. Consistent Price Systems under Model Uncertainty. Finance and Stochastics, 2015, 20 (1), pp.83-98. ⟨hal-01187902⟩