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
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Cited by:
- Shuzhen Yang & Wenqing Zhang, 2024. "Asset pricing under model uncertainty with finite time and states," Papers 2408.13048, arXiv.org.
- Delia Coculescu & Aditi Dandapani, 2020. "Insiders and their Free Lunches: the Role of Short Positions," Papers 2012.00359, arXiv.org, revised Jan 2022.
- Eckhard Platen & Stefan Tappe, 2020. "Exploiting arbitrage requires short selling," Papers 2011.12523, arXiv.org, revised Sep 2022.
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More about this item
Keywords
Equivalent supermartingale measures; No free lunch with vanishing risk; Short-sales constraints; Converging asset prices;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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