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Limits to arbitrage when market participation is restricted
Hens, Thorsten; Herings, Peter Jean-Jacques; … - In: Journal of mathematical economics 42 (2006) 4/5, pp. 556-564
Persistent link: https://www.econbiz.de/10003376540
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Limits to arbitrage when market participation is restricted
Hens, Thorsten; Herings, Peter Jean-Jacques; … - 2003
Persistent link: https://www.econbiz.de/10002015721
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Universal arbitrage aggregator in discrete-time markets under uncertainty
Burzoni, Matteo; Frittelli, Marco; Maggis, Marco - In: Finance and stochastics 20 (2016) 1, pp. 1-50
Persistent link: https://www.econbiz.de/10011459932
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Survival, Arbitrage, and Equilibrium with Financial Derivatives in Constrained Asset Markets
Hahn, Guangsug - 2012
Survival conditions ensure the presence of consumptions that cost less than the total contingent income of agents in general equilibrium models. These conditions are generally fulfilled in competitive equilibrium. This paper shows the existence of equilibrium for incomplete-market economies...
Persistent link: https://www.econbiz.de/10013097342
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Market Frictions, Arbitrage, and the Capitalization of Amenities
Ouazad, Amine - 2019
The price-amenity arbitrage is a cornerstone of spatial economics, as the response of land and house prices to shifts … amenities. With informational, time, and cash constraints, households' ability to arbitrage across locations with different …
Persistent link: https://www.econbiz.de/10012889494
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Arbitrage with financial constraints and market power
Fardeau, Vincent - 2022
Persistent link: https://www.econbiz.de/10013256022
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Survival, arbitrage, and equilibrium with financial derivatives in constrained asset markets
Hahn, Guangsug; Won, Dongchul - In: Seoul journal of economics 25 (2012) 4, pp. 441-461
Persistent link: https://www.econbiz.de/10010219956
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Market Frictions, Arbitrage, and the Capitalization of Amenities
Ouazad, Amine - 2019
The price-amenity arbitrage is a cornerstone of spatial economics, as the response of land and house prices to shifts … amenities. With informational, time, and cash constraints, households' ability to arbitrage across locations with different …
Persistent link: https://www.econbiz.de/10012479652
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Do arbitrage-free prices come from utility maximization?
Siorpaes, Pietro - In: Mathematical finance : an international journal of … 26 (2016) 3, pp. 602-616
Persistent link: https://www.econbiz.de/10011583781
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The term structure of sharpe ratios and arbitrage-free asset pricing in continuous time
Beißner, Patrick; Rosazza Gianin, Emanuela - 2018
arbitrage-free and incomplete market setting when different pricing measures are possible. Involved pricing measures now depend …
Persistent link: https://www.econbiz.de/10011899208