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1 result for “Hard-To-Borrow”

Change of measure under the hard-to-borrow modelq-fin.MF

Corrects technical error in change of measure for HTB models.

problem Technical error in change of measure for HTB models.

method Provided supplement conditions to correct the error.

result Corrected technical error in change of measure for HTB models.

Change of Measure Hard-To-Borrow Technical Error Supplement Conditions

2020-01-28abs ↗pdf ↗