On the Existence Of Consistent Price Systems

Erhan Bayraktar; Mikko S. Pakkanen; Hasanjan Sayit

doi:10.1080/07362994.2014.858535

On the Existence Of Consistent Price Systems

Erhan Bayraktar
, Mikko S. Pakkanen
, Hasanjan Sayit^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

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.

Original language	English
Pages (from-to)	152-162
Number of pages	11
Journal	Stochastic Analysis and Applications
Volume	32
Issue number	1
DOIs	https://doi.org/10.1080/07362994.2014.858535
Publication status	Published - 2014
Externally published	Yes

Keywords

Conditional full support
Consistent price systems
No-arbitrage
Stability under composition with continuous functions
Transaction costs

Access to Document

10.1080/07362994.2014.858535

Cite this

@article{547ef28fccd6494396bf6f7e7dafef04,

title = "On the Existence Of Consistent Price Systems",

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",

author = "Erhan Bayraktar and Pakkanen, \{Mikko S.\} and Hasanjan Sayit",

note = "Funding Information: E. Bayraktar is supported in part by the National Science Foundation under DMS-0955463 and in part by the Susan M. Smith Professorship. M. S. Pakkanen acknowledges support from CREATES, funded by the Danish National Research Foundation, and from the Aarhus University Research Foundation regarding the project “Stochastic and Econometric Analysis of Commodity Markets.”",

year = "2014",

doi = "10.1080/07362994.2014.858535",

language = "English",

volume = "32",

pages = "152--162",

journal = "Stochastic Analysis and Applications",

issn = "0736-2994",

number = "1",

}

TY - JOUR

T1 - On the Existence Of Consistent Price Systems

AU - Bayraktar, Erhan

AU - Pakkanen, Mikko S.

AU - Sayit, Hasanjan

N1 - Funding Information: E. Bayraktar is supported in part by the National Science Foundation under DMS-0955463 and in part by the Susan M. Smith Professorship. M. S. Pakkanen acknowledges support from CREATES, funded by the Danish National Research Foundation, and from the Aarhus University Research Foundation regarding the project “Stochastic and Econometric Analysis of Commodity Markets.”

PY - 2014

Y1 - 2014

N2 - 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.

AB - 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.

KW - Conditional full support

KW - Consistent price systems

KW - No-arbitrage

KW - Stability under composition with continuous functions

KW - Transaction costs

UR - https://www.scopus.com/pages/publications/84890614278

U2 - 10.1080/07362994.2014.858535

DO - 10.1080/07362994.2014.858535

M3 - Article

AN - SCOPUS:84890614278

SN - 0736-2994

VL - 32

SP - 152

EP - 162

JO - Stochastic Analysis and Applications

JF - Stochastic Analysis and Applications

IS - 1

ER -

On the Existence Of Consistent Price Systems

Abstract

Keywords

Access to Document

Other files and links

Fingerprint

Cite this