Publication: Insiders and Their Free Lunches: The Role of Short Positions
Insiders and Their Free Lunches: The Role of Short Positions
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Coculescu, D., & Dandapani, A. (2022). Insiders and Their Free Lunches: The Role of Short Positions. SIAM Journal on Financial Mathematics, 13(3), 877–902. https://doi.org/10.1137/20M1375826
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Given a stock price process, we analyze the potential of arbitrage in a context of short-selling prohibitions. We introduce the notion of minimal supermartingale measure, and we analyze its properties in connection with the minimal martingale measure. This question is more specifically analyzed in the case of an investor having additional, inside information. In particular, we establish conditions when minimal martingale and supermartingale measures both fail to exist. These correspond to the case when the insider information includes
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Coculescu, D., & Dandapani, A. (2022). Insiders and Their Free Lunches: The Role of Short Positions. SIAM Journal on Financial Mathematics, 13(3), 877–902. https://doi.org/10.1137/20M1375826
