THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS

DOI10.1111/mafi.12013zbMath1320.91144OpenAlexW1898525909MaRDI QIDQ5247423

Sergio Pulido, Philip E. Protter, Robert A. Jarrow

Publication date: 24 April 2015

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/mafi.12013

zbMATH Keywords

bubblesfutures pricesshort sale constraintsmartingale representationcomplete marketsfutures contractssupermartingale measuresoverpricing hypothesis

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

Exploiting arbitrage requires short selling ⋮ The fundamental theorem of asset pricing, the hedging problem and maximal claims in financial markets with short sales prohibitions ⋮ Some no-arbitrage rules under short-sales constraints, and applications to converging asset prices ⋮ A Mathematical Theory of Financial Bubbles

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