Department of Economics and Business Economics

Sticky continuous processes have consistent price systems

Research output: ResearchWorking paper

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  • rp13_38

    Submitted manuscript, 474 KB, PDF-document

  • Christian Bender
    Christian BenderSaarland UniversityGermany
  • Mikko Pakkanen
  • Hasanjan Sayit
    Hasanjan SayitDurham UniversityUnited Kingdom
Under proportional transaction costs, a price process is said to have a consistent price system, if there is a semimartingale with an equivalent martingale measure that evolves within the bid-ask spread. We show that a continuous, multi-asset price process has a consistent price system, under arbitrarily small proportional transaction costs, if it satisfies a natural multi-dimensional generalization of the stickiness condition introduced by Guasoni
Original languageEnglish
Place of PublicationAarhus
PublisherInstitut for Økonomi, Aarhus Universitet
Number of pages10
StatePublished - 18 Nov 2013
SeriesCREATES Research Papers
Number2013-38

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