The fundamental theorem of asset pricing for continuous processes under small transaction costs
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.
scientific article; zbMATH DE number 6013032