A remark on arbitrage free prices in multi-period economy

We study the convexity property of the set of arbitrage-free prices for a multi-period financial exchange economy. We provide sufficient conditions for the set of arbitrage-free prices to be a convex cone, which includes 2-date model. Further we show that a financial exchange economy with the set of arbitrage-free prices neither convex nor cone can be equivalent to a financial exchange economy with the convex cone set of arbitrage-free prices.

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Year of publication:	2012-04
Authors:	Cornet, Bernard ; Ranjan, Abhishek
Institutions:	HAL
Subject:	Financial exchange economy \| arbitrage-free prices \| equivalent financial structure

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Extent:	application/pdf
Series:	Post-Print.
Type of publication:	Book / Working Paper
Notes:	View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00707401
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010635005