On the Existence of Consistent Price Systems

Details On the Existence of Consistent Price Systems On the Existence of Consistent Price Systems

2009-11-19

arxiv.org/abs/0911.3789v3

Economy

Quantitative Finance

General Finance

Consistent pricing systems, No-arbitrage, Transaction costs, Full support, Conditional Full Support, Stability under Compositi

Scientific paper

In this note, we present a different sufficient condition than the \emph{conditional full support} condition (CFS) introduced by Guasoni, R\'asonyi, and Schachermayer [Ann. Appl. Probab., 18(2008), pp. 491-520] for the existence of consistent price systems (CPSs). We analyze the stability of our condition under composition with continuous functions. In particular, we use this condition to show the existence of CPSs for certain processes that fail to have the CFS property.

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