On the stickiness property

DOI10.1080/14697680903341806MaRDI QIDQ3064012zbMATH OpenOpenAlexFDO

Authors Erhan Bayraktar, Hasanjan Sayit

Publication date 20 December 2010

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0801.0718

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Financial applications of other theories (91G80)

Abstract: In [2] the notion of stickiness for stochastic processes was introduced. It was also shown that stickiness implies absense of arbitrage in a market with proportional transaction costs. In this paper, we investigate the notion of stickiness further. In particular, we give examples of processes that are not semimartingales but are sticky.

Recommendations

• Arbitrage-free models in markets with transaction costs
• Sticky Continuous Processes have Consistent Price Systems
• Sticky processes, local and true martingales
• Some explicit results on one kind of sticky diffusion
• No arbitrage without semimartingales

Cites work

• ARBITRAGE IN FRACTAL MODULATED BLACK–SCHOLES MODELS WHEN THE VOLATILITY IS STOCHASTIC
• Arbitrage with Fractional Brownian Motion
• Brownian moving averages have conditional full support
• Consistent price systems and face-lifting pricing under transaction costs
• NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND
• No arbitrage conditions for simple trading strategies
• No arbitrage without semimartingales

Cited in

(6)

• Open mushrooms: stickiness revisited
• Sticky processes, local and true martingales
• Arbitrage-free models in markets with transaction costs
• Sticky Continuous Processes have Consistent Price Systems
• Rigidity for sticky discs
• Consistent price systems in multiasset markets

This page was built for publication: On the stickiness property

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3064012)