A shorter proof of Lemma A.6 (arXiv:1005.0768)
Tom Fischer
TL;DR
This paper provides a full proof of Lemma A.5 and a shorter proof of Lemma A.6 to aid readers of a related article on no-arbitrage pricing under systemic risk.
Contribution
It offers a complete proof of Lemma A.5 and a more concise proof of Lemma A.6 from Fischer's 2012 paper, improving clarity and accessibility.
Findings
Full proof of Lemma A.5 provided
Shorter proof of Lemma A.6 presented
Enhanced clarity for readers of the original article
Abstract
For the convenience of readers of the article {\em No-arbitrage pricing under systemic risk: accounting for cross-ownership} (Fischer, 2012, arXiv:1005.0768), a full proof of Lemma A.5 and a shorter proof of Lemma A.6 of that paper are provided.
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Taxonomy
TopicsEconomic theories and models · Stochastic processes and financial applications