Some no-arbitrage rules under short-sales constraints, and applications to converging asset prices
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Publication:1739058
DOI10.1007/s00780-019-00386-3zbMath1411.91248OpenAlexW2908996538MaRDI QIDQ1739058
Delia Coculescu, Monique Jeanblanc-Picqué
Publication date: 24 April 2019
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://www.zora.uzh.ch/id/eprint/160728/1/InfoNoArbitrage_2018_R2.pdf
no free lunch with vanishing riskconverging asset pricesequivalent supermartingale measuresshort-sales constraints
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Related Items (3)
Insiders and Their Free Lunches: The Role of Short Positions ⋮ Exploiting arbitrage requires short selling ⋮ Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization
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