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Sticky Continuous Processes have Consistent Price Systems
Published online by Cambridge University Press: 30 January 2018
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 (2006).
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- © Applied Probability Trust
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