On the Existence of Consistent Price Systems
AbstractWe 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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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 0911.3789.
Date of creation: Nov 2009
Date of revision: Jun 2013
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-11-21 (All new papers)
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- 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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