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| Type | Working Paper |
| Scope | Discipline-based scholarship |
| Title | Some No-Arbitrage Rules for Converging Asset Prices under Short-Sales Constraints |
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| Institution | University of Zurich |
| Series Name | HAL |
| Number | 01589416 |
| Date | 2017 |
| Abstract Text | Under short sales prohibitions, no free lunch with vanishing risk (NFLVR-S) is known to be equivalent to the existence of an equivalent supermartingale measure for the price processes (Pulido, 2014). For two given price processes, we translate the property (NFLVR-S) in terms of so called structure conditions and we introduce the concept of fun- damental supermartingale measure. When a certain condition necessary to the construction of the fundamental martingale measure is not fulfilled, we provide the corresponding arbi- trage portfolios. The motivation of our study lies in understanding the particular case of converging prices, i.e., that are going to cross at a bounded random time. |
| Official URL | https://hal.archives-ouvertes.fr/hal-01589416/document |
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