A remark on the set of arbitrage‐free prices in a multi‐period model. (21st March 2013) - Cornet, Bernard
Abstract We study the convexity property of the set Qℱ 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 Qℱ is a convex cone, but Qℱ′ is neither convex nor a cone.