A Remark on the Set of Arbitrage-Free Prices in a Multi-period Model

Bernard Cornet and Abhishek Ranjan

PSE-Ecole d'économie de Paris (Postprint) from HAL

Abstract: We study the convexity property of the set Q[subscript F] of arbitrage-free prices of a multi-period financial structure F. The set of arbitrage-free prices is shown to be a convex cone under conditions on the financial structure F that hold in particular for short-lived assets. Furthermore, we provide examples of equivalent financial structures F and F' such that Q[subscript F] is a convex cone, but Q[subscript F'] is neither convex nor a cone.

Keywords: arbitrage (search for similar items in EconPapers)
Date: 2013-03
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Citations: View citations in EconPapers (4)

Published in International Journal of Economic Theory, 2013, 9 (1), pp.35-43. ⟨10.1111/j.1742-7363.2013.12004.x⟩

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Journal Article: A remark on the set of arbitrage-free prices in a multi-period model (2013)
Working Paper: A Remark on the Set of Arbitrage-Free Prices in a Multi-period Model (2013)
Working Paper: A Remark on the Set of Arbitrage-Free Prices in a Multi-period Model (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:pseptp:hal-01052678

DOI: 10.1111/j.1742-7363.2013.12004.x

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