On the Existence of Consistent Price Systems

Erhan Bayraktar, Mikko S. Pakkanen and Hasanjan Sayit

Papers from arXiv.org

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) introduced by Guasoni, Rasonyi, and Schachermayer [Ann. Appl. Probab., 18(2008), pp. 491-520] . 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.

Date: 2009-11, Revised 2013-06
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