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

Jun, Zhao; Lépinette, Emmanuel

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

Voir/Ouvrir

ProjetJun-20_03_18.pdf (522.9Kb)

Type

Document de travail / Working paper

Lien vers un document non conservé dans cette base

https://hal.archives-ouvertes.fr/hal-01666860

Date

2018

Titre de la collection

Cahier de recherche CEREMADE, Université Paris-Dauphine

Métadonnées

Afficher la notice complète

Auteur(s)

Jun, Zhao

Lépinette, Emmanuel
CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]

Résumé (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.

Mots-clés

Liquidation value; Bid and Ask prices; Transaction costs; Absence of arbitrage opportunities; Financial market models