The wedge of arbitrage free prices: anything goes

Roko Aliprantis (), Monique Florenzano, Daniela Puzzello and Rabee Tourky ()
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Roko Aliprantis: Purdue University [West Lafayette]
Rabee Tourky: Purdue University [West Lafayette], Department of Economics - University of Queensland - UQ [All campuses : Brisbane, Dutton Park Gatton, Herston, St Lucia and other locations] - The University of Queensland

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

Abstract: We show that if K is a closed cone in a finite dimensional vector space X, then there exists a one-to-one linear operator T : X C [0,1] such that K is the pull-back cone of the positive cone of C [0,1], i.e., K = T -1 (C+ [0,1]). This problem originated from questions regarding arbitrage free prices in economics.

Keywords: securities markets; arbitrage free prices; Closed cones; pull-back; marchés d'actifs; Cones fermés; images inverses de cones; prix sans arbitrage (search for similar items in EconPapers)
Date: 2006-11
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Published in 2006

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Working Paper: The wedge of arbitrage free prices: anything goes (2006)
Working Paper: The wedge of arbitrage free prices: anything goes (2006)
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