A remark on the set of arbitrage‐free prices in a multi‐period model. (8th April 2013)
- Record Type:
- Journal Article
- Title:
- A remark on the set of arbitrage‐free prices in a multi‐period model. (8th April 2013)
- Main Title:
- A remark on the set of arbitrage‐free prices in a multi‐period model
- Authors:
- Cornet, Bernard
Ranjan, Abhishek - Abstract:
- Abstract: We study the convexity property of the set Q 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 ℱ is a convex cone, but Q ℱ ′ is neither convex nor a cone.
- Is Part Of:
- International journal of economic theory. Volume 9:Number 1(2013:Mar.)
- Journal:
- International journal of economic theory
- Issue:
- Volume 9:Number 1(2013:Mar.)
- Issue Display:
- Volume 9, Issue 1 (2013)
- Year:
- 2013
- Volume:
- 9
- Issue:
- 1
- Issue Sort Value:
- 2013-0009-0001-0000
- Page Start:
- 35
- Page End:
- 43
- Publication Date:
- 2013-04-08
- Subjects:
- arbitrage‐free prices -- convexity -- equivalent financial structure -- multi‐period model
Economics -- Periodicals
330.01 - Journal URLs:
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http://onlinelibrary.wiley.com/journal/10.1111/(ISSN)1742-7363/issues ↗
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http://onlinelibrary.wiley.com/ ↗
http://www.blackwellpublishing.com/aims.asp?ref=1742-7355 ↗ - DOI:
- 10.1111/j.1742-7363.2013.12004.x ↗
- Languages:
- English
- ISSNs:
- 1742-7355
- Deposit Type:
- Legaldeposit
- View Content:
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- Physical Locations:
- British Library DSC - 4542.197400
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- 19313.xml