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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- Paolo Guasoni & Miklós Rásonyi & Walter Schachermayer, 2010. "The fundamental theorem of asset pricing for continuous processes under small transaction costs," Annals of Finance, Springer, vol. 6(2), pages 157-191, March.
- Erhan Bayraktar & Hasanjan Sayit, 2010.
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Taylor & Francis Journals, vol. 10(10), pages 1109-1112.
- repec:fth:inseep:9513 is not listed on IDEAS
- Paolo Guasoni & Mikl\'os R\'asonyi & Walter Schachermayer, 2008. "Consistent price systems and face-lifting pricing under transaction costs," Papers 0803.4416, arXiv.org.
- Jouini Elyes & Kallal Hedi, 1995. "Martingales and Arbitrage in Securities Markets with Transaction Costs," Journal of Economic Theory, Elsevier, vol. 66(1), pages 178-197, June.
- Mikko S. Pakkanen, 2011. "Brownian Semistationary Processes And Conditional Full Support," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 14(04), pages 579-586.
- Attila Herczegh & Vilmos Prokaj & Mikl\'os R\'asonyi, 2013. "Diversity and no arbitrage," Papers 1301.4173, arXiv.org, revised Aug 2014.
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