Abstract
<p style='text-indent:20px;'>What is absence of arbitrage for non-discounted prices? How can one define this so that it does not change meaning if one decides to discount after all?</p><p style='text-indent:20px;'>The answer to both questions is a new discounting-invariant no-arbitrage concept. As in earlier work, we define absence of arbitrage as the zero strategy or some basic strategies being <i>maximal</i>. The key novelty is that maximality of a strategy is defined in terms of <i>share</i> holdings instead of <i>value</i>. This allows us to generalise both NFLVR, by dynamic share efficienc, and NUPBR, by dynamic share viability. These new concepts are the same for discounted or undiscounted prices, and they can be used in general models under minimal assumptions on asset prices. We establish corresponding versions of the FTAP, i.e., dual characterisations in terms of martingale properties. As one expects, "properly anticipated prices fluctuate randomly", but with an <i>endogenous</i> discounting process which cannot be chosen a priori. An example with <i>N</i> geometric Brownian motions illustrates our results.</p>
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