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- W2023139074 abstract "The problem of contingent claim valuation in a market with a higher interest rate for borrowing than for lending is discussed. We give results which cover especially the European call and put options. The method used is based on transforming the problem to suitable auxiliary markets with only one interest rate for borrowing and lending and is adapted from a paper of Cvitanic and Karatzas (1992) where the authors study constrained portfolio problems." @default.
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- W2023139074 title "Contingent claim valuation in a market with different interest rates" @default.
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