The Auxiliary Markets

Robert Jarrow ()

Chapter Chapter 20 in Continuous-Time Asset Pricing Theory, 2021, pp 405-409 from Springer

Abstract: Abstract 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 unconstrained market. The goal of this transformation is to use the theorems from an incomplete but unconstrained market to understand trading constrained markets.

Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-3-030-74410-6_20

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DOI: 10.1007/978-3-030-74410-6_20

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