Abstract
In this paper a finite discrete time market model with bid-ask spreads and a money account is considered in the setting of an arbitrary state space. The notions of an equivalent bid-ask martingale measure (EBAMM) and of supermartingale as well as submartingale consistent price systems are introduced. The fundamental theorem of asset pricing is proved using EBAMM as an equivalent condition for no-arbitrage. The Cox-Ross-Rubinstein model with bid-ask spreads is presented as an application of our results.
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