  We study the range of prices at which a rational agent should contemplate
transacting a financial contract outside a given securities market. Trading is
subject to nonproportional transaction costs and portfolio constraints and full
replication by way of market instruments is not always possible. Rationality is
defined in terms of consistency with market prices and acceptable risk
thresholds. We obtain a direct and a dual description of market-consistent
prices with acceptable risk. The dual characterization requires an appropriate
extension of the classical Fundamental Theorem of Asset Pricing where the role
of arbitrage opportunities is played by good deals, i.e., costless investment
opportunities with acceptable risk-reward tradeoff. In particular, we highlight
the importance of scalable good deals, i.e., investment opportunities that are
good deals regardless of their volume.
