Open Access. Powered by Scholars. Published by Universities.®
Articles 1 - 1 of 1
Full-Text Articles in Economic Theory
Statistical Arbitrage With Default And Collateral, José Fajardo, Ana Lacerda
Statistical Arbitrage With Default And Collateral, José Fajardo, Ana Lacerda
José Fajardo
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.