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

Baccara, Mariagiovanna; Battauz, Anna; Ortu, Fulvio - In: Journal of Economic Dynamics and Control 30 (2006) 1, pp. 55-79

Persistent link: https://www.econbiz.de/10005205090

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

Baccara, Mariagiovanna; Battauz, Anna; Ortu, Fulvio - In: Journal of economic dynamics & control 30 (2006) 1, pp. 55-79

Persistent link: https://www.econbiz.de/10003251151

Effective securities in arbitrage-free markets with bid#8211ask spreads at liquidation: a linear programming characterization

Baccara, Mariagiovanna; Battauz, Anna; Ortu, Fulvio - In: Journal of economic dynamics & control 30 (2006) 1, pp. 55-80

Persistent link: https://www.econbiz.de/10006748598

Effective Vs. Efficient Securities in Arbitrage-Free Markets with Bid-Ask Spreads : A Linear Programming Characterization

Baccara, Mariagiovanna - 2009

We consider a securities market with bid-ask spreads at any period, including liquidation. Although the minimum-cost super-replication problem is non-linear, we introduce an auxiliary problem that allows us to characterize no-arbitrage via linear programming techniques. Since no-arbitrage per se...

Persistent link: https://www.econbiz.de/10012721928