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Department of Mathematical Sciences

Staff

Publication details for Hasanjan Sayit

Bayraktar, E, Pakkanen, M & Sayit, H (2014). On the existence of consistent price systems. Stochastic Analysis and Applications 32(1): 152-162.

Author(s) from Durham

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.