The wedge of arbitrage free prices : anything goes.

We show that if K is a closed cone in a finite dimensional vector space X, then there exists a one-to-one linear operator T : X -> C[0,1] such that K is the pull-back cone of the positive cone of C[0,1], i.e., K = T (C+ [0,1]). This problem originated from questions regarding arbitrage free prices in economics.

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Year of publication:	2006-11
Authors:	Aliprantis, Roko ; Florenzano, Monique ; Puzzello, Daniella ; Tourky, Rabee
Institutions:	Maison des Sciences Économiques, Université Paris 1 (Panthéon-Sorbonne)
Subject:	Closed cones in finite dimensional spaces \| pull-back cones \| securities markets \| arbitrage free prices

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Extent:	application/pdf
Series:	Cahiers de la Maison des Sciences Economiques. - ISSN 1624-0340.
Type of publication:	Book / Working Paper
Notes:	10 pages
Classification:	C65 - Miscellaneous Mathematical Tools ; D53 - Financial Markets ; G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005797816