On the Stickiness Property
classification
💱 q-fin.PR
math.PR
keywords
stickinessnotionprocessesabsensearbitragecostsexamplesfurther
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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.
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