Financial innovations and arbitrage pricing in economies with frictions: Revisited
成果类型：
Article
署名作者：
Charupat, N; Prisman, EZ
刊物名称：
JOURNAL OF ECONOMIC THEORY
ISSN/ISSBN：
0022-0531
DOI：
10.1006/jeth.1996.2256
发表日期：
1997
页码：
435-447
关键词：
摘要：
Existing literature points to the role of market frictions in providing motivations for financial innovations. In this payer, we study the effectiveness of the arbitrage pricing approach and the design and pricing of innovated securities in economies with restrictions on short sales. In the process, we also define the no-arbitrage conditions that is appropriate for such economies. The differences between our results and Chen's [3] are pointed out when appropriate. (C) 1997 Academic Press.