Published March 12, 2019
| Version v1
Working paper
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If only there were no liquidity constraints
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Description
Based on a simple stochastic model, we illustrate that an ineligible change of numéraire leads to arbitrage opportunities. This observation is particularly interesting in the current low interest rate environment, where one could generate less expensive zero-coupon bonds.
Notes
+ Reihe: IFZ Working Paper, 0007/2019 + ISSN: 1662-520X
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IFZ Working Paper Series 0007 2019.pdf
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