On the Existence Of Consistent Price Systems |
| |
| Authors: | Erhan Bayraktar Mikko S Pakkanen |
| |
| Institution: | 1. Department of Mathematics , University of Michigan , Ann Arbor , Michigan , USA;2. CREATES and Department of Economics and Business , Aarhus University , Aarhus , Denmark |
| |
| 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. |
| |
| Keywords: | Conditional full support Consistent price systems No-arbitrage Stability under composition with continuous functions Transaction costs |
|
|
