A remark on arbitrage free prices in multi-period economy

Bernard Cornet and Abhishek Ranjan

Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne

Abstract: We study the convexity property of the set of arbitrage-free prices for a multi-period financial exchange economy. We provide sufficient conditions for the set of arbitrage-free prices to be a convex cone, which includes 2-date model. Further we show that a financial exchange economy with the set of arbitrage-free prices neither convex nor cone can be equivalent to a financial exchange economy with the convex cone set of arbitrage-free prices

Keywords: Financial exchange economy; arbitrage-free prices; equivalent financial structure (search for similar items in EconPapers)
JEL-codes: C02 D53 (search for similar items in EconPapers)
Pages: 15 pages
Date: 2012-04
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Citations: View citations in EconPapers (14)

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Related works:
Working Paper: A remark on arbitrage free prices in multi-period economy (2012)
Working Paper: A remark on arbitrage free prices in multi-period economy (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:mse:cesdoc:12035

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