Arbitrage conditions with no short selling
- 1 Departamento de Matemáticas Aplicadas Facultad de Ciencias Matemáticas Universidad Complutense de Madrid
ISSN: 2357-6529, 0120-0380
Datum der Publikation: 2012
Ausgabe: 19
Nummer: 1
Seiten: 37-54
Art: Artikel
Andere Publikationen in: Boletín de matemáticas
Zusammenfassung
A key assumption to prove the Fundamental Theorem of Mathematical Finance is the possibility of short selling the risky assets of the market. In this article we exhibit a simple geometric condition to handle the arbitrage opportunities when short selling is not possible. Moreover, this approach provides a pedagogical tool to visualize the consistency of the model when shorting is allowed for only some of the assets. Some examples are presented, both in analytical and graphical ways.