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BibTex format

@article{Bender:2015:jap/1437658617,
author = {Bender, C and Pakkanen, MS and Sayit, H},
doi = {jap/1437658617},
journal = {Journal of Applied Probability},
pages = {586--594},
title = {Sticky continuous processes have consistent price systems},
url = {http://dx.doi.org/10.1239/jap/1437658617},
volume = {52},
year = {2015}
}

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TY  - JOUR
AB  - Under proportional transaction costs, a price process is said to have aconsistent price system, if there is a semimartingale with an equivalentmartingale measure that evolves within the bid-ask spread. We show that acontinuous, multi-asset price process has a consistent price system, underarbitrarily small proportional transaction costs, if it satisfies a naturalmulti-dimensional generalization of the stickiness condition introduced byGuasoni [Math. Finance 16(3), 569-582 (2006)].
AU  - Bender,C
AU  - Pakkanen,MS
AU  - Sayit,H
DO  - jap/1437658617
EP  - 594
PY  - 2015///
SN  - 1475-6072
SP  - 586
TI  - Sticky continuous processes have consistent price systems
T2  - Journal of Applied Probability
UR  - http://dx.doi.org/10.1239/jap/1437658617
UR  - http://arxiv.org/abs/1310.7857v3
UR  - http://hdl.handle.net/10044/1/25410
VL  - 52
ER  -

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