英文文献：Sticky continuous processes have consistent price systems
英文文献作者：Christian Bender,Mikko S. Pakkanen,Hasanjan Sayit
英文文献摘要：
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