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The wedge of arbitrage free prices: anything goes

Author

Listed:
  • Roko Aliprantis

    (Purdue University [West Lafayette])

  • Monique Florenzano

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

  • Daniella Puzzello

    (Deparments of Economics and Mathematics - University of Kentucky - UK - University of Kentucky)

  • Rabee Tourky

    (Purdue University [West Lafayette], Department of Economics - University of Queensland - UQ [All campuses : Brisbane, Dutton Park Gatton, Herston, St Lucia and other locations] - The University of Queensland)

Abstract

We 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 -1 (C+ [0,1]). This problem originated from questions regarding arbitrage free prices in economics.

Suggested Citation

  • Roko Aliprantis & Monique Florenzano & Daniella Puzzello & Rabee Tourky, 2006. "The wedge of arbitrage free prices: anything goes," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00112202, HAL.
    • Handle: RePEc:hal:cesptp:halshs-00112202
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00112202v1
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    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

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