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

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ProjetJun-20_03_18.pdf (522.9Kb)
Date
2018
Publishing date
2018
Collection title
Cahier de recherche CEREMADE, Université Paris-Dauphine
Link to item file
https://hal.archives-ouvertes.fr/hal-01666860
Dewey
Probabilités et mathématiques appliquées
Sujet
Liquidation value; Bid and Ask prices; Transaction costs; Absence of arbitrage opportunities; Financial market models
URI
https://basepub.dauphine.fr/handle/123456789/17962
Collections
  • CEREMADE : Publications
Metadata
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Author
Jun, Zhao
Lépinette, Emmanuel
60 CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Type
Document de travail / Working paper
Item number of pages
24
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.

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