Arbitrage Theory under Integer Constraints
Abstract
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 ]
Authors
- Stefan Gerhold (TU Wien)
- Paul Krühner (University of Liverpool)
Topic Areas
Arbitrage Theory , Hedging , Incompleteness
Session
TH-A-UI » No-Arbitrage Theory and FTAP (11:30 - Thursday, 19th July, Ui Chadhain)
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