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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- Zaier Aouani & Bernard Cornet, 2009.
"Existence of financial equilibria with restricted participation,"
Documents de travail du Centre d'Economie de la Sorbonne
09063, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
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- Zaier Aouani & Bernard Cornet, 2009. "Existence of financial equilibria with restricted participation," UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers) halshs-00426441, HAL.
- Zaier Aouani & Bernard Cornet, 2009. "Existence of financial equilibria with restricted participation," Working Papers 001-09, International School of Economics at TSU, Tbilisi, Republic of Georgia.
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