Price Functionals with Bid-Ask Spreads: An Axiomatic Approach.
Under some minimal assumptions on the price functional, we prove that the prices of the contingent claim are necessarily in some minimal interval.
Type of publication: | Book / Working Paper
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Notes: | 20 pages |
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Classification: | G10 - General Financial Markets. General ; G11 - Portfolio Choice ; G12 - Asset Pricing |
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Source: | |
Persistent link: https://www.econbiz.de/10005035859