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On the Existence of Consistent Price Systems

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  • Erhan Bayraktar
  • Mikko S. Pakkanen
  • Hasanjan Sayit

Abstract

We formulate a sufficient condition for the existence of a consistent price system (CPS), which is weaker than the conditional full support condition (CFS) introduced by Guasoni, Rasonyi, and Schachermayer [Ann. Appl. Probab., 18(2008), pp. 491-520] . We use the new condition to show the existence of CPSs for certain processes that fail to have the CFS property. In particular this condition gives sufficient conditions, under which a continuous function of a process with CFS admits a CPS, while the CFS property might be lost.

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File URL: http://arxiv.org/pdf/0911.3789
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Paper provided by arXiv.org in its series Papers with number 0911.3789.

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Date of creation: Nov 2009
Date of revision: Jun 2013
Handle: RePEc:arx:papers:0911.3789

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Web page: http://arxiv.org/

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  1. Christian Bender & Tommi Sottinen & Esko Valkeila, 2008. "Pricing by hedging and no-arbitrage beyond semimartingales," Finance and Stochastics, Springer, vol. 12(4), pages 441-468, October.
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