Publication details for Hasanjan SayitBayraktar, E, Pakkanen, M & Sayit, H (2014). On the existence of consistent price systems. Stochastic Analysis and Applications 32(1): 152-162.
- Publication type: Journal Article
- ISSN/ISBN: 0736-2994, 1532-9356
- DOI: 10.1080/07362994.2014.858535
- Keywords: Conditional full support, Consistent price systems, No-arbitrage, Stability under composition with continuous functions, Transaction costs, 91G10, 62P05, 26A45, 60H05, 60G44.
- Further publication details on publisher web site
Author(s) from Durham
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.