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Black-Scholes经济中，保证金限制排除了连续交易套利，但在两个额外假设下仍允许Black-Scholes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.