On the Existence of Consistent Price Systems
We formulate a sufficient condition for the existence of a consistent price system (CPS), which is weaker than the conditional full support condition (CFS) introduced by Guasoni, Rasonyi, and Schachermayer [Ann. Appl. Probab., 18(2008), pp. 491-520] . We use the new condition to show the existence of CPSs for certain processes that fail to have the CFS property. In particular this condition gives sufficient conditions, under which a continuous function of a process with CFS admits a CPS, while the CFS property might be lost.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Erhan Bayraktar & Hasanjan Sayit, 2010.
"On the stickiness property,"
Taylor & Francis Journals, vol. 10(10), pages 1109-1112.
- Erhan Bayraktar & Hasanjan Sayit, 2008.
"No Arbitrage Conditions For Simple Trading Strategies,"
0801.4047, arXiv.org, revised Jan 2009.
- Erhan Bayraktar & Hasanjan Sayit, 2010. "No arbitrage conditions for simple trading strategies," Annals of Finance, Springer, vol. 6(1), pages 147-156, January.
- Christian Bender & Tommi Sottinen & Esko Valkeila, 2008. "Pricing by hedging and no-arbitrage beyond semimartingales," Finance and Stochastics, Springer, vol. 12(4), pages 441-468, October.
When requesting a correction, please mention this item's handle: RePEc:arx:papers:0911.3789. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators)
If references are entirely missing, you can add them using this form.