Some no-arbitrage rules under short-sales constraints, and applications to converging asset prices
Sign Up to like & getrecommendations! Published in 2019 at "Finance and Stochastics"
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