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 articleResearchpeer-review

Standard

On the existence of consistent price systems. / Bayraktar, Erhan; Pakkanen, Mikko S.; Sayit, Hasanjan.

In: Stochastic Analysis and Applications, Vol. 32, No. 1, 2014, p. 152-162.

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

Harvard

Bayraktar, E, Pakkanen, MS & Sayit, H 2014, 'On the existence of consistent price systems' Stochastic Analysis and Applications, vol. 32, no. 1, pp. 152-162. https://doi.org/10.1080/07362994.2014.858535

APA

Bayraktar, E., Pakkanen, M. S., & Sayit, H. (2014). On the existence of consistent price systems. Stochastic Analysis and Applications, 32(1), 152-162. https://doi.org/10.1080/07362994.2014.858535

CBE

Bayraktar E, Pakkanen MS, Sayit H. 2014. On the existence of consistent price systems. Stochastic Analysis and Applications. 32(1):152-162. https://doi.org/10.1080/07362994.2014.858535

MLA

Bayraktar, Erhan, Mikko S. Pakkanen and Hasanjan Sayit. "On the existence of consistent price systems". Stochastic Analysis and Applications. 2014, 32(1). 152-162. https://doi.org/10.1080/07362994.2014.858535

Vancouver

Bayraktar E, Pakkanen MS, Sayit H. On the existence of consistent price systems. Stochastic Analysis and Applications. 2014;32(1):152-162. https://doi.org/10.1080/07362994.2014.858535

Author

Bayraktar, Erhan ; Pakkanen, Mikko S. ; Sayit, Hasanjan. / On the existence of consistent price systems. In: Stochastic Analysis and Applications. 2014 ; Vol. 32, No. 1. pp. 152-162.

Bibtex

@article{b59442a754934871b80926f7bd4b6f59,
title = "On the existence of consistent price systems",
abstract = "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.",
author = "Erhan Bayraktar and Pakkanen, {Mikko S.} and Hasanjan Sayit",
year = "2014",
doi = "10.1080/07362994.2014.858535",
language = "English",
volume = "32",
pages = "152--162",
journal = "Stochastic Analysis and Applications",
issn = "0736-2994",
publisher = "Taylor & Francis Inc.",
number = "1",

}

RIS

TY - JOUR

T1 - On the existence of consistent price systems

AU - Bayraktar, Erhan

AU - Pakkanen, Mikko S.

AU - Sayit, Hasanjan

PY - 2014

Y1 - 2014

N2 - 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.

AB - 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.

U2 - 10.1080/07362994.2014.858535

DO - 10.1080/07362994.2014.858535

M3 - Journal article

VL - 32

SP - 152

EP - 162

JO - Stochastic Analysis and Applications

JF - Stochastic Analysis and Applications

SN - 0736-2994

IS - 1

ER -