We would like to thank Professor Walter Schachermayer for providing the main ideas that led to Example 6.9. We would also like to thank the anonymous referees for their careful reviews of the manuscript. P. Protter is supported in part by NSF grant DMS-0906995.
THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS
Article first published online: 2 NOV 2012
© 2012 Wiley Periodicals, Inc.
How to Cite
Jarrow, R., Protter, P. and Pulido, S. (2012), THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS. Mathematical Finance. doi: 10.1111/mafi.12013
- Article first published online: 2 NOV 2012
- Manuscript received June 2011; final revision received July 2012.
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