Effective securities in arbitrage-free markets with bid-ask spreads at liquidation: a linear programming characterization

DOI10.1016/j.jedc.2004.11.003zbMath1198.91201OpenAlexW2078085789MaRDI QIDQ956490

Mariagiovanna Baccara, Anna Battauz, Fulvio Ortu

Publication date: 25 November 2008

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2004.11.003

zbMATH Keywords

linear programmingarbitragebid-ask priceseffective securities

Mathematics Subject Classification ID

Special problems of linear programming (transportation, multi-index, data envelopment analysis, etc.) (90C08) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Financial market structures revealed by pricing rules: efficient complete markets are prevalent ⋮ Pricing rules and Arrow-Debreu ambiguous valuation ⋮ Calibrated American option pricing by stochastic linear programming

Cites Work

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