Karatzas, Ioannis; (*), S. G. Kou - In: Finance and Stochastics 2 (1998) 3, pp. 215-258
different interest rates for borrowing and lending. In the unconstrained case, the classical theory provides a single arbitrage …_{\rm up}]$ of arbitrage-free prices, with endpoints characterized as $h_{\rm low} = \inf_{\nu\in{\cal D}} u_\nu, h_{\rm up …} = \sup_{\nu\in{\cal D}} u_\nu$. Here $u_\nu$ is the analogue of $u_0$, the arbitrage-free price with unconstrained portfolios …
