Some no-arbitrage rules under short-sales constraints, and applications to converging asset prices
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DOI: 10.1007/s00780-019-00386-3
Abstract: Under short-sales prohibitions, no free lunch with vanishing risk (NFLVRS) is known to be equivalent to the existence of an equivalent supermartingale measure for the price process (Pulido in Ann. Appl. Probab. 24:54–75, 2014). We… read more here.
Keywords: short sales; supermartingale measure; arbitrage rules; sales constraints ... See more keywords
Predatory Short Sales and Bailouts
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DOI: 10.1111/geer.12173
Abstract: Abstract This paper extends the literature on predatory short selling and bailouts through a joint analysis of the two. We consider a model with informed short sales, as well as uninformed predatory short sales, which… read more here.
Keywords: short sales; predatory short; short selling; sales bailouts ... See more keywords