The fundamental theorem of asset pricing under default and collateral in finite discrete time

Article

Abstract: We consider a financial market where time and uncertainty are modeled by a finite event-tree. The ev

Palabras claves:

Arbitrage opportunity, Continuum of states, Exogenous collateral, Incomplete markets

Autores:

Borys Álvarez-Samaniego, Orrillo J.

Fuentes:

scopus