Finance and Stochastics

, Volume 20, Issue 1, pp 83–98 | Cite as

Consistent price systems under model uncertainty

  • Bruno BouchardEmail author
  • Marcel Nutz


We develop a version of the fundamental theorem of asset pricing for discrete-time markets with proportional transaction costs and model uncertainty. A robust notion of no-arbitrage of the second kind is defined and shown to be equivalent to the existence of a collection of strictly consistent price systems.


Transaction costs Arbitrage of the second kind Consistent price system Model uncertainty 

Mathematics Subject Classification (2010)

60G42 91B25 93E20 49L20 

JEL Classification



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Copyright information

© Springer-Verlag Berlin Heidelberg 2015

Authors and Affiliations

  1. 1.CEREMADEUniversité Paris DauphineParisFrance
  2. 2.CRESTENSAEMalakoffFrance
  3. 3.Depts. of Statistics and MathematicsColumbia UniversityNew YorkUSA

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