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q-fin.PR2013
A note on the Fundamental Theorem of Asset Pricing under model uncertainty
Erhan Bayraktar, Yuchong Zhang, Zhou Zhou
We show that the results of ArXiv:1305.6008 on the Fundamental Theorem of Asset Pricing and the super-hedging theorem can be extended to the case in which the options available for…
math.PR2013
Fundamental Theorem of Asset Pricing under Transaction costs and Model uncertainty
Erhan Bayraktar, Yuchong Zhang
We prove the Fundamental Theorem of Asset Pricing for a discrete time financial market where trading is subject to proportional transaction cost and the asset price dynamic is mode…