EXPLOITING ARBITRAGE REQUIRES SHORT SELLING
- Publisher:
- American Institute of Mathematical Sciences (AIMS)
- Publication Type:
- Journal Article
- Citation:
- Frontiers of Mathematical Finance, 2023, 2, (3), pp. 265-282
- Issue Date:
- 2023-09-01
Closed Access
Filename | Description | Size | |||
---|---|---|---|---|---|
10.3934_fmf.2023008.pdf | Published version | 362.29 kB |
Copyright Clearance Process
- Recently Added
- In Progress
- Closed Access
This item is closed access and not available.
We show that in a financial market given by semimartingales an arbitrage opportunity, provided it exists, can only be exploited through short selling. This finding provides a theoretical basis for differences in regulation for financial services providers that are allowed to go short and those without short sales. The privilege to be allowed to short sell gives access to potential arbitrage opportunities, which creates by design a bankruptcy risk.
Please use this identifier to cite or link to this item: