Holding costs and equilibrium arbitrage PDF
54 Pages·2008·1.46 MB·English
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Preview Holding costs and equilibrium arbitrage
.^''^^'^x '•^-. Ocvt^ HD28 .M414 WORKING PAPER ALFRED SLOAN SCHOOL OF MANAGEMENT P. HOLDING COSTS AND EQUILIBRIUM ARBITRAGE BY BRUCE TUCKMAN AND JEAN-LUC VILA LATEST VERSION: JUNE 1992 WORKING PAPER NO: 3437-92-EFA MASSACHUSETTS INSTITUTE OF TECHNOLOGY 50 MEMORIAL DRIVE CAMBRIDGE, MASSACHUSETTS 02139 HOLDING COSTS AND EQUILIBRIUM ARBITRAGE BY BRUCE TUCKMAN AND JEAN-LUC VILA LATEST VERSION: JUNE 1992 WORKING PAPER NO: 3437-92-EFA AUG 2 7 \ HOLDING COSTS AND EQUILIBRIUM ARBITRAGE TUCKMAN Bruce Stem School ofBusiness, New York University, New York, NY10006, USA Jean-Luc VILA Sloan School ofManagement, Massachusetts Institute of Technology, Cambridge, MA 02139, USA June, 1992
Description:Section HI demonstrates the solution method for themodel there are Lr_„-Lr^„+i sellers in the market for red bonds. reveal that the effect of arbitrage activity can be seen by comparing. dZ. E[-.^|LJ and . Duffie, D. and T. Sun (1989) "Transactions Costs and Portfolio Choice in a Discrete-Conti
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