# The fundamental theorem of asset pricing under transaction costs

@article{Guasoni2012TheFT, title={The fundamental theorem of asset pricing under transaction costs}, author={Paolo Guasoni and Emmanuel L{\'e}pinette and Mikl{\'o}s R{\'a}sonyi}, journal={Finance and Stochastics}, year={2012}, volume={16}, pages={741-777} }

This paper proves the fundamental theorem of asset pricing with transaction costs, when bid and ask prices follow locally bounded càdlàg (right-continuous, left-limited) processes.The robust no free lunch with vanishing risk condition (RNFLVR) for simple strategies is equivalent to the existence of a strictly consistent price system (SCPS). This result relies on a new notion of admissibility, which reflects future liquidation opportunities. The RNFLVR condition implies that admissible… Expand

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