On the Existence Of Consistent Price Systems

DOI10.1080/07362994.2014.858535zbMath1291.91188arXiv0911.3789OpenAlexW1544613978MaRDI QIDQ5416841

Hasanjan Sayit, Mikko S. Pakkanen, Erhan Bayraktar

Publication date: 15 May 2014

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0911.3789

zbMATH Keywords

sufficient conditionsconsistent price systemconditional full support conditionrandom walk with retirement

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Martingales with continuous parameter (60G44) Portfolio theory (91G10)

Related Items (1)

Consistent price systems in multiasset markets

Cites Work

• The fundamental theorem of asset pricing for continuous processes under small transaction costs
• Brownian moving averages have conditional full support
• Martingales and arbitage in securities markets with transaction costs
• Consistent price systems and face-lifting pricing under transaction costs
• Conditional Full Support of Gaussian Processes with Stationary Increments
• The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
• Stochastic Integrals and Conditional Full Support

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