The fundamental theorem of asset pricing for continuous processes under small transaction costs
type: Item
instance of: scholarly article
title: The fundamental theorem of asset pricing for continuous processes under small transaction costs
zbMATH Open document ID: 1239.91190
author: Paolo Guasoni
author: Miklós Rásonyi
author: Walter Schachermayer
published in: Annals of Finance
publication date: 2012-03-08T00:00:00Z
review text: The question of identification of the necessary and sufficient conditions for proving a version of the fundamental theorem of asset pricing for arbitrary small transaction costs is addressed. In continuous-time setting, a notion of absence of arbitrage admitting a clear-cut economic interpretation to the existence of consistent price system, which correspond to equivalent martingale measure in the frictionless case, is studied. A comparison between numeraire-free and numeraire-based notions of admissibility is provided, and the corresponding martingale and local martingale properties for the consistent price systems are stated as well.
reviewed by: Anatoliy Swishchuk
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 91B25
zbMATH DE Number: 6013032
zbMATH Keywords: transaction costs
zbMATH Keywords: no arbitrage
zbMATH Keywords: consistent price system
MaRDI profile type: Publication
full work available at URL: s10436-008-0110-x
OpenAlex ID: W2013203876
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DOI: 10.1007/S10436-008-0110-X
description: scientific article; zbMATH DE number 6013032