کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5091078 1375659 2007 22 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Using Tucker's theorem of the alternative to simplify, review and expand discrete arbitrage theory
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Using Tucker's theorem of the alternative to simplify, review and expand discrete arbitrage theory
چکیده انگلیسی
For valuing derivatives and other assets in securities and commodities markets, arbitrage pricing theory has been a major approach for decades. This paper derives fundamental arbitrage pricing results in finite dimensions in a simple unified framework using Tucker's theorem of the alternative. Frictionless results, that is perfect market results, plus imperfect market results such as those with dividends, periodic interest payments, transaction costs, different interest rates for lending and borrowing, shorting costs and constrained short selling are presented. While the results are mostly known and appear in various places, our contribution is to present them in a coherent and comprehensive fashion with very simple proofs. The analysis yields a simple procedure to prove new results and some are presented for cases with imperfect market frictions.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 31, Issue 8, August 2007, Pages 2281-2302
نویسندگان
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