![](/images/graphics-bg.png)
Arbitrage-Free Conditions and Hedging Strategies for Markets withPenalty Costs on Short Positions
Joint Authors
Queiroz Filho, E. V.
Costa, Oswaldo Luiz do Valle
Source
Mathematical Problems in Engineering
Issue
Vol. 2012, Issue 2012 (31 Dec. 2012), pp.1-20, 20 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2012-03-14
Country of Publication
Egypt
No. of Pages
20
Main Subjects
Abstract EN
We consider a discrete-time financial model in a general sample space with penalty costs onshort positions.
We consider a friction market closely related to the standard one except that withdrawalsfrom the portfolio value proportional to short positions are made.
We provide necessary and sufficientconditions for the nonexistence of arbitrages in this situation and for a self-financing strategy to replicate acontingent claim.
For the finite-sample space case, this result leads to an explicit and constructive procedurefor obtaining perfect hedging strategies.
American Psychological Association (APA)
Costa, Oswaldo Luiz do Valle& Queiroz Filho, E. V.. 2012. Arbitrage-Free Conditions and Hedging Strategies for Markets withPenalty Costs on Short Positions. Mathematical Problems in Engineering،Vol. 2012, no. 2012, pp.1-20.
https://search.emarefa.net/detail/BIM-1029861
Modern Language Association (MLA)
Costa, Oswaldo Luiz do Valle& Queiroz Filho, E. V.. Arbitrage-Free Conditions and Hedging Strategies for Markets withPenalty Costs on Short Positions. Mathematical Problems in Engineering No. 2012 (2012), pp.1-20.
https://search.emarefa.net/detail/BIM-1029861
American Medical Association (AMA)
Costa, Oswaldo Luiz do Valle& Queiroz Filho, E. V.. Arbitrage-Free Conditions and Hedging Strategies for Markets withPenalty Costs on Short Positions. Mathematical Problems in Engineering. 2012. Vol. 2012, no. 2012, pp.1-20.
https://search.emarefa.net/detail/BIM-1029861
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1029861