Department of Economics and Business Economics

On the existence of consistent price systems

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal article

    Erhan Bayraktar, University of Michigan, United States
  • Mikko S. Pakkanen
  • Hasanjan Sayit, Durham University, United Kingdom
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.
Original languageEnglish
JournalStochastic Analysis and Applications
Issue number1
Pages (from-to)152-162
StatePublished - 2014

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