On the Stickiness Property
Pricing of Securities
2009-09-14 v4 Probability
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.
Cite
@article{arxiv.0801.0718,
title = {On the Stickiness Property},
author = {Erhan Bayraktar and Hasanjan Sayit},
journal= {arXiv preprint arXiv:0801.0718},
year = {2009}
}
Comments
Key words: Transaction costs. No Arbitrage. Sticky processes. Time change