Arbitrage Theory under Integer Constraints


We investigate discrete time trading under integer constraints, that is, we assume that the offered goods or shares are traded in entire quantities instead of the usual real quantity assumption. For rational asset prices this... [ view full abstract ]


  1. Stefan Gerhold (TU Wien)
  2. Paul Kr├╝hner (University of Liverpool)

Topic Areas

Arbitrage Theory , Hedging , Incompleteness


TH-A-UI » No-Arbitrage Theory and FTAP (11:30 - Thursday, 19th July, Ui Chadhain)

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