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q-fin.MF2022
Arbitrage Problems with Reflected Geometric Brownian Motion
Dean Buckner, Kevin Dowd, Hardy Hulley
Contrary to the claims made by several authors, a financial market model in which the price of a risky security follows a reflected geometric Brownian motion is not arbitrage-free.…
q-fin.MF2019
Short Selling with Margin Risk and Recall Risk
Kristoffer Glover, Hardy Hulley
Short sales are regarded as negative purchases in textbook asset pricing theory. In reality, however, the symmetry between purchases and short sales is broken by a variety of costs…