Arbitrage and hedging in model-independent markets with frictions
We provide a fundamental theorem of asset pricing and a superhedging theorem for a model indepen- dent discrete time financial market with proportional transaction costs. We consider a probability- free version of the robust no arbitrage condition introduced by Schachermayer in [Math. Finance, 14 (2...
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| Format: | Journal article |
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Society for Industrial and Applied Mathematics
2016
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| Summary: | We provide a fundamental theorem of asset pricing and a superhedging theorem for a model indepen- dent discrete time financial market with proportional transaction costs. We consider a probability- free version of the robust no arbitrage condition introduced by Schachermayer in [Math. Finance, 14 (2004), pp. 19{48] and show that this is equivalent to the existence of consistent price systems. More- over, we prove that the superhedging price for a claim g coincides with the frictionless superhedging price of g for a suitable process in the bid-ask spread. |
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