Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/319314 
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Erscheinungsjahr: 
2024
Quellenangabe: 
[Journal:] Mathematical Finance [ISSN:] 1467-9965 [Volume:] 35 [Issue:] 2 [Publisher:] Wiley [Place:] Hoboken, NJ [Year:] 2024 [Pages:] 567-609
Verlag: 
Wiley, Hoboken, NJ
Zusammenfassung: 
We prove a version of the fundamental theorem of asset pricing (FTAP) in continuous time that is based on the strict no‐arbitrage condition and that is applicable to both frictionless markets and markets with proportional transaction costs. We consider a market with a single risky asset whose ask price process is higher than or equal to its bid price process. Neither the concatenation property of the set of wealth processes, that is used in the proof of the frictionless FTAP, nor some boundedness property of the trading volume of admissible strategies usually argued within models with a nonvanishing bid–ask spread need to be satisfied in our model.
Schlagwörter: 
fundamental theorem of asset pricing
no unbounded profit with bounded risk
proportional transaction costs
strict no‐arbitrage
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