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In this paper we present a theoretical framework for determining dynamic askand bid prices of derivatives using the theory of dynamic coherentacceptability indices in discrete time. We prove a version of the FirstFundamental Theorem of Asset Pricing using the dynamic coherent risk measures.We introduce the dynamic ask and bid prices of a derivative contract in marketswith transaction costs. Based on these results, we derive a representationtheorem for the dynamic bid and ask prices in terms of dynamically consistentsequence of sets of probability measures and risk-neutral measures. Toillustrate our results, we compute the ask and bid prices of somepath-dependent options using the dynamic Gain-Loss Ratio.

Dynamic Conic Finance: Pricing and Hedging in Market Models with Transaction Costs via Dynamic Coherent Acceptability Indices