A remark on arbitrage free prices in multi-period economy
AbstractWe study the convexity property of the set of arbitrage-free prices for a multi-period financial exchange economy. We provide sufficient conditions for the set of arbitrage-free prices to be a convex cone, which includes 2-date model. Further we show that a financial exchange economy with the set of arbitrage-free prices neither convex nor cone can be equivalent to a financial exchange economy with the convex cone set of arbitrage-free prices.
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Date of creation: Apr 2012
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Financial exchange economy; arbitrage-free prices; equivalent financial structure.;
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