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Erschienen in:
2008 | OriginalPaper | Buchkapitel
No Free Lunch under Transaction Costs for Continuous Processes
verfasst von : Paolo Guasoni
Erschienen in: Seminar on Stochastic Analysis, Random Fields and Applications V
Verlag: Birkhäuser Basel
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We present a version of a No Free Lunch and Hedging Theorem for security markets under transaction costs for continuous processes. We show that the (RNFL) condition, which requires that the absence of free lunches is preserved under a smaller bid-ask spread, is equivalent to the existence of a uniformly strictly consistent price system. We also characterize the super-replication price of bounded contingent claims as the supremum of expected values under all uniformly consistent price systems.