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- W3145663003 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" @default.
- W3145663003 created "2021-04-13" @default.
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- W3145663003 date "2013-01-01" @default.
- W3145663003 modified "2023-09-23" @default.
- W3145663003 title "Sticky continuous processes have consistent price systems" @default.
- W3145663003 hasPublicationYear "2013" @default.
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