The wedge of arbitrage free prices : anything goes
AbstractWe show that if K is a closed cone in a finite dimensional vector space X, then there exists a one-to-one linear operator T : X -> C[0,1] such that K is the pull-back cone of the positive cone of C[0,1], i.e., K = T (C+ [0,1]). This problem originated from questions regarding arbitrage free prices in economics.
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Bibliographic InfoPaper provided by Université Panthéon-Sorbonne (Paris 1) in its series Cahiers de la Maison des Sciences Economiques with number b06070.
Length: 10 pages
Date of creation: Nov 2006
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Closed cones in finite dimensional spaces; pull-back cones; securities markets; arbitrage free prices.;
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Find related papers by JEL classification:
- C65 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Miscellaneous Mathematical Tools
- D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-11-25 (All new papers)
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