  We study the range of prices at which a rational agent should contemplate
transacting a financial contract outside a given securities market. Trading is
subject to nonproportional transaction costs and portfolio constraints and full
replication by way of market instruments is not always possible. Rationality is
defined in terms of consistency with market prices and acceptable risk
thresholds. We obtain a direct and a dual description of market-consistent
prices with acceptable risk based on superreplication prices and pricing
densities. The dual characterization requires an appropriate extension of the
classical Fundamental Theorem of Asset Pricing where the role of arbitrage
opportunities is played by acceptable deals, i.e., costless investment
opportunities with acceptable risk-reward tradeoff. In particular, we highlight
the importance of scalable acceptable deals, i.e., investment opportunities
that are acceptable deals regardless of their volume. Our results provide a
systematic treatment of and new insights into the theory of good deal pricing
in a static setting.
