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).
Citation
Christian Bender. Mikko S. Pakkanen. Hasanjan Sayit. "Sticky continuous processes have consistent price systems." J. Appl. Probab. 52 (2) 586 - 594, June 2015. https://doi.org/10.1239/jap/1437658617
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