The fundamental theorem of asset pricing with and without transaction costs
证明了连续时间下基于严格无套利条件的资产定价基本定理，该定理同时适用于无摩擦市场和存在比例交易成本的市场。
Abstract We prove a version of the fundamental theorem of asset pricing (FTAP) in continuous time that is based on the strict no‐arbitrage condition and that is applicable to both frictionless markets and markets with proportional transaction costs. We consider a market with a single risky asset whose ask price process is higher than or equal to its bid price process. Neither the concatenation property of the set of wealth processes, that is used in the proof of the frictionless FTAP, nor some boundedness property of the trading volume of admissible strategies usually argued within models with a nonvanishing bid–ask spread need to be satisfied in our model.