Arbitrage-Free Conditions and Hedging Strategies for Markets with Penalty Costs on Short Positions
| Contribuinte(s) |
UNIVERSIDADE DE SÃO PAULO |
|---|---|
| Data(s) |
29/10/2013
29/10/2013
2012
|
| Resumo |
We consider a discrete-time financial model in a general sample space with penalty costs on short positions. We consider a friction market closely related to the standard one except that withdrawals from the portfolio value proportional to short positions are made. We provide necessary and sufficient conditions for the nonexistence of arbitrages in this situation and for a self-financing strategy to replicate a contingent claim. For the finite-sample space case, this result leads to an explicit and constructive procedure for obtaining perfect hedging strategies. CNPq (Brazilian National Research Council) [301067/09-0] Brazilian National Research Council (CNPq) USP USP |
| Identificador |
MATHEMATICAL PROBLEMS IN ENGINEERING, NEW YORK, v. 107, n. 11, supl., Part 3, pp. 3008-3019, JUN, 2012 1024-123X http://www.producao.usp.br/handle/BDPI/36481 10.1155/2012/937324 |
| Idioma(s) |
eng |
| Publicador |
HINDAWI PUBLISHING CORPORATION NEW YORK |
| Relação |
MATHEMATICAL PROBLEMS IN ENGINEERING |
| Direitos |
openAccess Copyright HINDAWI PUBLISHING CORPORATION |
| Palavras-Chave | #VARIANCE PORTFOLIO SELECTION #TRANSACTION COSTS #DISCRETE-TIME #FUNDAMENTAL THEOREM #CONE CONSTRAINTS #OPTIMIZATION #REPLICATION #OPTIONS #MODELS #RESTRICTIONS #ENGINEERING, MULTIDISCIPLINARY #MATHEMATICS, INTERDISCIPLINARY APPLICATIONS |
| Tipo |
article original article publishedVersion |
