SOME NO-ARBITRAGE RULES FOR CONVERGING ASSET PRICES UNDER SHORT-SALES CONSTRAINTS - Archive ouverte HAL Accéder directement au contenu
Pré-Publication, Document De Travail Année : 2017

SOME NO-ARBITRAGE RULES FOR CONVERGING ASSET PRICES UNDER SHORT-SALES CONSTRAINTS

Résumé

Under short sales prohibitions, no free lunch with vanishing risk (NFLVR-S) is known to be equivalent to the existence of an equivalent supermartingale measure for the price processes (Pulido [22]). For two given price processes, we translate the property (NFLVR-S) in terms of so called structure conditions and we introduce the concept of fundamental supermartingale measure. When a certain condition necessary to the construction of the fundamental martingale measure is not fulfilled, we provide the corresponding arbitrage portfolios. The motivation of our study lies in understanding the particular case of converging prices, i.e., that are going to cross at a bounded random time.
Fichier principal
Vignette du fichier
InfoNoArbitrage_20171917.pdf (290.75 Ko) Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)
Loading...

Dates et versions

hal-01589416 , version 1 (18-09-2017)

Identifiants

  • HAL Id : hal-01589416 , version 1

Citer

Delia Coculescu, Monique Jeanblanc. SOME NO-ARBITRAGE RULES FOR CONVERGING ASSET PRICES UNDER SHORT-SALES CONSTRAINTS. 2017. ⟨hal-01589416⟩
159 Consultations
165 Téléchargements

Partager

Gmail Facebook X LinkedIn More