Arbitrage, Continuous Trading, and Margin Requirements
研究保证金要求对套利机会和看涨期权估值的影响，在布莱克-舒尔斯经济中，保证金限制排除了连续交易套利机会，但仍允许布莱克-舒尔斯看涨期权模型适用。
ABSTRACT This paper studies the impact that margin requirements have on both the existence of arbitrage opportunities and the valuation of call options. In the context of the Black‐Scholes economy, margin restrictions are shown to exclude continuous‐trading arbitrage opportunities and, with two additional hypotheses, still to allow the Black‐Scholes call model to apply. The Black‐Scholes economy consists of a continuously traded stock with a price process that follows a geometric Brownian motion and a continuously traded bond with a price process that is deterministic.