5 citations · 8 across the 7 of their papers we have counts for
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q-fin.MF2020
Insiders and their Free Lunches: the Role of Short Positions
Delia Coculescu, Aditi Dandapani
Given a stock price process, we analyse the potential of arbitrage by insiders in a context of short-selling prohibitions. We introduce the notion of minimal supermartingale measur…
q-fin.MF2019
Strict Local Martingales and the Khasminskii test for Explosions
Philip Protter, Aditi Dandapani
We exhibit sufficient conditions such that components of a multidimensional SDE giving rise to a local martingale are strict local martingales or martingales. We assume that th…