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The Dalang–Morton–Willinger version of the fundamental theorem of asset pricing for the Bid-Ask financial market model

Jun, Zhao; Lépinette, Emmanuel (2018), The Dalang–Morton–Willinger version of the fundamental theorem of asset pricing for the Bid-Ask financial market model. https://basepub.dauphine.fr/handle/123456789/17962

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Type
Document de travail / Working paper
External document link
https://hal.archives-ouvertes.fr/hal-01666860
Date
2018
Series title
Cahier de recherche CEREMADE, Université Paris-Dauphine
Pages
24
Metadata
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Author(s)
Jun, Zhao

Lépinette, Emmanuel
CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Abstract (EN)
We provide an equivalent characterisation of absence of arbitrage opportunity NA for the Bid and Ask financial market model analog to the Dalang--Morton--Willinger theorem formulated for discrete-time financial market models without friction. This result completes the Grigoriev theorem for conic models in the two dimensional case by showing that the set of all terminal liquidation values is closed under NA.
Subjects / Keywords
Liquidation value; Bid and Ask prices; Transaction costs; Absence of arbitrage opportunities; Financial market models