Statistical arbitrage with default and collateral

This paper studies the implications of the absence of statistical arbitrage opportunities in a two-period incomplete market economy where default is allowed but there are collateral requirements. Modified versions of the fundamental theorem of asset pricing are obtained.

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Year of publication:	2010
Authors:	Fajardo, José ; Lacerda, Ana
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 108.2010, 1, p. 81-84
Publisher:	Elsevier
Subject:	Collateral Statistical arbitrage Default

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008494878