Arbitrage in securities markets with short-sales constraints
Year of publication: |
1995-07
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Authors: | Jouini, Elyès ; Kallal, Hedi |
Institutions: | Université Paris-Dauphine (Paris IX) |
Subject: | Short-sales constraints | borrowing costs | martingale approach | equivalent supermatingale and submartingale measures | perturbed heat equation | arbitrage bounds | hedging |
Series: | |
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Type of publication: | Book / Working Paper |
Notes: | Published in Mathematical Finance, 1995, Vol. 5, no. 3. pp. 197-232.Length: 35 pages |
Classification: | G10 - General Financial Markets. General ; G13 - Contingent Pricing; Futures Pricing ; C73 - Stochastic and Dynamic Games |
Source: |
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