On the stickiness property

DOI10.1080/14697680903341806zbMath1205.91178arXiv0801.0718OpenAlexW2084806632MaRDI QIDQ3064012

Hasanjan Sayit, Erhan Bayraktar

Publication date: 20 December 2010

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0801.0718

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Financial applications of other theories (91G80)

Related Items (2)

Sticky Continuous Processes have Consistent Price Systems ⋮ Consistent price systems in multiasset markets

Cites Work

• No arbitrage conditions for simple trading strategies
• Brownian moving averages have conditional full support
• No arbitrage without semimartingales
• Consistent price systems and face-lifting pricing under transaction costs
• ARBITRAGE IN FRACTAL MODULATED BLACK–SCHOLES MODELS WHEN THE VOLATILITY IS STOCHASTIC
• Arbitrage with Fractional Brownian Motion
• NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND

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