Statistical arbitrage with default and collateral

José Fajardo () and Ana Lacerda

Economics Letters, 2010, vol. 108, issue 1, 81-84

Abstract: This paper studies the implications of the absence of statistical arbitrage opportunities in a two-period incomplete market economy where default is allowed but there are collateral requirements. Modified versions of the fundamental theorem of asset pricing are obtained.

Keywords: Collateral; Statistical; arbitrage; Default (search for similar items in EconPapers)
Date: 2010
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Working Paper: Statistical Arbitrage with Default and Collateral (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:108:y:2010:i:1:p:81-84

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