Effective securities in arbitrage-free markets with bid-ask spreads at liquidation: a linear programming characterization
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Publication:956490
DOI10.1016/j.jedc.2004.11.003zbMath1198.91201OpenAlexW2078085789MaRDI QIDQ956490
Mariagiovanna Baccara, Anna Battauz, Fulvio Ortu
Publication date: 25 November 2008
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2004.11.003
Special problems of linear programming (transportation, multi-index, data envelopment analysis, etc.) (90C08) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
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