On the Stickiness Property

Details On the Stickiness Property On the Stickiness Property

2008-01-04

arxiv.org/abs/0801.0718v4

Economy

Quantitative Finance

Pricing of Securities

Key words: Transaction costs. No Arbitrage. Sticky processes. Time change

Scientific paper

In [2] the notion of stickiness for stochastic processes was introduced. It
was also shown that stickiness implies absense of arbitrage in a market with
proportional transaction costs. In this paper, we investigate the notion of
stickiness further. In particular, we give examples of processes that are not
semimartingales but are sticky.

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