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arXiv · 1310.7857

Sticky continuous processes have consistent price systems

Christian Bender·Mikko S. Pakkanen·Hasanjan Sayit
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Abstract

Under proportional transaction costs, a price process is said to have a consistent price system, if there is a semimartingale with an equivalent martingale measure that evolves within the bid-ask spread. We show that a continuous, multi-asset price process has a consistent price system, under arbitrarily small proportional transaction costs, if it satisfies a natural multi-dimensional generalization of the stickiness condition introduced by Guasoni [Math. Finance 16(3), 569-582 (2006)].

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Christian Bender, Mikko S. Pakkanen, Hasanjan Sayit. 2013-10-29. Sticky continuous processes have consistent price systems. https://doi.org/10.1239/jap/1437658617

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