Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/319314 
Year of Publication: 
2024
Citation: 
[Journal:] Mathematical Finance [ISSN:] 1467-9965 [Volume:] 35 [Issue:] 2 [Publisher:] Wiley [Place:] Hoboken, NJ [Year:] 2024 [Pages:] 567-609
Publisher: 
Wiley, Hoboken, NJ
Abstract: 
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.
Subjects: 
fundamental theorem of asset pricing
no unbounded profit with bounded risk
proportional transaction costs
strict no‐arbitrage
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
Document Version: 
Published Version

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