On the Existence of Consistent Price Systems
File(s)0911.3789v5.pdf (342.35 KB)
Accepted version
Author(s)
Bayraktar, E
Pakkanen, MS
Sayit, H
Type
Journal Article
Abstract
We formulate a sufficient condition for the existence of a consistent price system (CPS), which is weaker than the conditional full support condition (CFS). 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.
Date Issued
2013-12-09
Date Acceptance
2013-06-13
Citation
Stochastic Analysis and Applications, 2013, 32 (1), pp.152-162
ISSN
1532-9356
Publisher
Taylor & Francis
Start Page
152
End Page
162
Journal / Book Title
Stochastic Analysis and Applications
Volume
32
Issue
1
Copyright Statement
This is an Accepted Manuscript of an article published by Taylor & Francis Group in Stochastic Analysis and Applications on 9 Dec 2013, available online at: https://dx.doi.org/10.1080/07362994.2014.858535
Identifier
http://arxiv.org/abs/0911.3789v5
Subjects
q-fin.GN
q-fin.GN
q-fin.PR
Publication Status
Published