A remark on arbitrage free prices in multi-period economy

Bernard Cornet and Abhishek Ranjan

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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: arbitrage-free prices; Financial exchange economy; equivalent financial structure; Economie d'échange; prix sans arbitrage; structure financière équivalente.; equivalent financial structure. (search for similar items in EconPapers)
Date: 2012-04
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00707401v1
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Citations: View citations in EconPapers (11)

Published in 2012

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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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