Consistent Price Systems under Model Uncertainty

Abstract

We develop a version of the fundamental theorem of asset pricing for discrete-time markets with proportional transaction costs and model uncertainty. A robust notion of no-arbitrage of the second kind is defined and shown to be equivalent to the existence of a collection of strictly consistent price systems.

19 pages

References in corpus (2)

• A model-free version of the fundamental theorem of asset pricing and the super-replication theorem
• Universal Arbitrage Aggregator in Discrete Time Markets under Uncertainty