英文标题：
《Some No-Arbitrage Rules For Converging Asset Prices under Short-Sales
Constraints》
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作者：
Delia Coculescu and Monique Jeanblanc
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最新提交年份：
2017
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英文摘要：
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 [22]). For two given price processes, we translate the property (NFLVR-S) in terms of so called structure conditions and we introduce the concept of fundamental supermartingale measure. When a certain condition necessary to the construction of the fundamental martingale measure is not fulfilled, we provide the corresponding arbitrage 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.
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中文摘要：
在卖空禁令下，已知没有任何具有消失风险的免费午餐（NFLVR-S）等同于存在价格过程的等效超级鞅测度（Pulido[22]）。对于两个给定的价格过程，我们将属性（NFLVR-S）转化为所谓的结构条件，并引入基本上鞅测度的概念。当构造基本鞅测度所必需的条件不满足时，我们给出了相应的套利组合。我们研究的动机在于理解价格趋同的特殊情况，即价格将在有界随机时间交叉。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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