2018 | OriginalPaper | Buchkapitel
The Auxiliary Markets
verfasst von : Robert A. Jarrow
Erschienen in: Continuous-Time Asset Pricing Theory
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This chapter studies how to transform a trading constrained market into an “equivalent” market which is incomplete, but without trading constraints. The transformed market is called the auxiliary marketsauxiliary unconstrained market. The goal of this transformation is to use the theorems from an incomplete but unconstrained market to understand trading constrained markets.