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摘要翻译：
在有交易费用的市场中，一致价格体系与无摩擦市场中鞅测度的作用相同。我们证明了如果一个连续的价格过程有条件完全支持，那么对于任意小的交易费用，它允许一致的价格系统。这一结果适用于一大类马尔可夫和非马尔可夫模型，包括几何分数布朗运动。利用所构造的价格系统，在非常一般的假设下，我们给出了如下的“抬脸”结果：欧式未定权益$g(S_T)$的渐近超复制价格等于$\hat{g}(S_0)$,其中$\hat{g}$是$g$的凹包络，$S_T$是该资产在$T$时的价格。该定理将对扩散过程得到的类似结果推广到具有条件全支持的过程。
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英文标题：
《Consistent price systems and face-lifting pricing under transaction
costs》
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作者：
Paolo Guasoni, Mikl\'os R\'asonyi, Walter Schachermayer
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最新提交年份：
2008
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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英文摘要：
In markets with transaction costs, consistent price systems play the same role as martingale measures in frictionless markets. We prove that if a continuous price process has conditional full support, then it admits consistent price systems for arbitrarily small transaction costs. This result applies to a large class of Markovian and non-Markovian models, including geometric fractional Brownian motion. Using the constructed price systems, we show, under very general assumptions, the following ``face-lifting'' result: the asymptotic superreplication price of a European contingent claim $g(S_T)$ equals $\hat{g}(S_0)$, where $\hat{g}$ is the concave envelope of $g$ and $S_t$ is the price of the asset at time $t$. This theorem generalizes similar results obtained for diffusion processes to processes with conditional full support.
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PDF链接：
https://arxiv.org/pdf/0803.4416
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