2 papers
q-fin.MF2020
Semimartingale price systems in models with transaction costs beyond efficient friction
Christoph Kühn, Alexander Molitor
A standing assumption in the literature on proportional transaction costs is efficient friction. Together with robust no free lunch with vanishing risk, it rules out strategies of…
q-fin.MF2018
Prospective strict no-arbitrage and the fundamental theorem of asset pricing under transaction costs
Christoph Kühn, Alexander Molitor
In discrete time markets with proportional transaction costs, Schachermayer (2004) shows that robust no-arbitrage is equivalent to the existence of a strictly consistent price syst…