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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
Rabee Tourky: Purdue University & University of Quensland

Cahiers de la Maison des Sciences Economiques from Université Panthéon-Sorbonne (Paris 1)

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: Closed cones in finite dimensional spaces; pull-back cones; securities markets; arbitrage free prices (search for similar items in EconPapers)
JEL-codes: C65 D53 G12 (search for similar items in EconPapers)
Pages: 10 pages
Date: 2006-11
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Working Paper: The wedge of arbitrage free prices: anything goes (2006) Downloads
Working Paper: The wedge of arbitrage free prices: anything goes (2006) Downloads
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