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Extension theorems for linear operators on $L_\infty$ and application to price systems
linear operators equivalent martingale measures price systems
2011/3/23
In an $L_\infty$-framework, we present a few extension theorems for linear operators. We focus the attention on majorant preserving and sandwich preserving types of extensions. These results are then ...
On the Existence of Consistent Price Systems
Consistent pricing systems No-arbitrage Transaction costs Full support, Conditional
2010/11/3
In [8], a sufficient condition for the existence of consistent price systems (CPSs) was given. In this note, we give a weaker sufficient condition for a CPS to exist. We use this condition
to show th...