We provide a Fundamental Theorem of Asset Pricing and a Superhedging Theorem for a model independent discrete time financial market with proportional transaction costs. We consider a probability-free version of the No Robust Arbitrage condition introduced in Schachermayer ['04] and show that this is equivalent to the existence of Consistent Price Systems. Moreover, we prove that the superhedging price for a claim g coincides with the frictionless superhedging price of g for a suitable process in the bid-ask spread.
We provide a Fundamental Theorem of Asset Pricing and a Superhedging Theorem for a model independent discrete time financial market with proportional transaction costs. We consider a probability-free version of the Robust No Arbitrage condition introduced in Schachermayer ['04] and show that this is equivalent to the existence of Consistent Price Systems. Moreover, we prove that the superhedging price for a claim g coincides with the frictionless superhedging price of g for a suitable process in the bid-ask spread.
R
No Robust
Robust No