A remark on the set of arbitrage-free prices in a multi-period model

摘要

We study the convexity property of the set QF of arbitrage-free prices of a multi-period financial structure F. The set of arbitrage-free prices is shown to be a convex cone under conditions on the financial structure F that hold in particular for short-lived assets. Furthermore, we provide examples of equivalent financial structures F and F' such that QF is a convex cone, but QF' is neither convex nor a cone.