英文标题：
《Sticky continuous processes have consistent price systems》
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作者：
Christian Bender, Mikko S. Pakkanen, Hasanjan Sayit
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最新提交年份：
2014
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英文摘要：
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 [Math. Finance 16(3), 569-582 (2006)].
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中文摘要：
在比例交易成本下，如果存在一个具有等价鞅测度的半鞅，且该鞅测度在买卖价差内演化，则称价格过程具有一致的价格系统。我们证明了一个连续的、多资产的价格过程在任意小的比例交易成本下，如果它满足Guasoni[Math.Finance 16（3），569-582（2006）]引入的粘性条件的自然多维推广，则具有一致的价格系统。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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