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Behavioral arbitrage with collateral and uncertain deliveries

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  • José Fajardo

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File URL: http://hdl.handle.net/10.1007/s10436-009-0135-9
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Bibliographic Info

Article provided by Springer in its journal Annals of Finance.

Volume (Year): 6 (2010)
Issue (Month): 2 (March)
Pages: 241-254

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Handle: RePEc:kap:annfin:v:6:y:2010:i:2:p:241-254

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Web page: http://www.springerlink.com/link.asp?id=112370

Related research

Keywords: Collateral; Utility penalties; Behavioral arbitrage; Uncertain deliveries; D52; G11; G12;

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References

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  1. Zame, William R, 1993. "Efficiency and the Role of Default When Security Markets Are Incomplete," American Economic Review, American Economic Association, vol. 83(5), pages 1142-64, December.
  2. Mário Páscoa & Aloisio Araujo & José Fajardo, 2004. "Endogenous Collateral," Econometric Society 2004 Latin American Meetings 161, Econometric Society.
  3. Fajardo, J., 2004. "A Note On Arbitrage and Exogenus Collateral," Finance Lab Working Papers flwp_62, Finance Lab, Insper Instituto de Ensino e Pesquisa.
  4. Pradeep Dubey & John Geanakoplos & Martin Shubik, 2005. "Default and Punishment in General Equilibrium," Econometrica, Econometric Society, vol. 73(1), pages 1-37, 01.
  5. Páscoa, Mário Rui & Seghir, Abdelkrim, 2009. "Harsh default penalties lead to Ponzi schemes," Games and Economic Behavior, Elsevier, vol. 65(1), pages 270-286, January.
  6. Fajardo, José, 2009. "Pricing and optimality with default spreads," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(2), pages 686-692, May.
  7. Erik Hoelzl & Aldo Rustichini, 2005. "Overconfident: Do You Put Your Money On It?," Economic Journal, Royal Economic Society, vol. 115(503), pages 305-318, 04.
  8. Fajardo, José & Lacerda, Ana, 2010. "Statistical arbitrage with default and collateral," Economics Letters, Elsevier, vol. 108(1), pages 81-84, July.
  9. Orrillo, Jaime, 2005. "Collateral once again," Economics Letters, Elsevier, vol. 87(1), pages 27-33, April.
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