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 - http://www.scopus.com/inward/record.url?scp=84890614278&partnerID=8YFLogxK
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 -