Sticky continuous processes have consistent price systems
Under proportional transaction costs, a price process is said to have a consistent price system, if there is a semimartingale with an equivalent martingale measure that evolves within the bid-ask spread. We show that a continuous, multi-asset price process has a consistent price system, under arbitrarily small proportional transaction costs, if it satisfies a natural multi-dimensional generalization of the stickiness condition introduced by Guasoni
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- Erhan Bayraktar & Hasanjan Sayit, 2010.
"On the stickiness property,"
Taylor & Francis Journals, vol. 10(10), pages 1109-1112.
- Erhan Bayraktar & Hasanjan Sayit, 2008. "On the Stickiness Property," Papers 0801.0718, arXiv.org, revised Sep 2009.
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