کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5099736 | 1377027 | 2006 | 25 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Effective securities in arbitrage-free markets with bid-ask spreads at liquidation: a linear programming characterization
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
کنترل و بهینه سازی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
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. We introduce the notion of effective new security and show that effectiveness restricts the no-arbitrage bid and ask prices of a new security to the interval defined by the minimum-cost problem. We discuss in detail the cases in which the boundaries of this interval can be reached without violating no-arbitrage.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 30, Issue 1, January 2006, Pages 55-79
Journal: Journal of Economic Dynamics and Control - Volume 30, Issue 1, January 2006, Pages 55-79
نویسندگان
Mariagiovanna Baccara, Anna Battauz, Fulvio Ortu,