@booklet {bergman-opwdiraba1993,
	title = {Option Pricing with Differential Interest Rates: Arbitrage-Bands Beget Arbitrage-Ovals},
	howpublished = {Discussion Papers},
	year = {1993},
	month = {9},
	publisher = {Review of Financial Studies 8 (1995), 475-500},
	abstract = {The classic Option Pricing Model is generalized to a more realistic, imperfect, dynamically incomplete capital market with different interest-rates for borrowing and for lending and a return differential between long and short positions in stock. It is found that in the absence of arbitrage opportunities, the equilibrium price of any contingent claim, or of a portfolio of such claims, must lie within an arbitrage-band. The boundaries of an arbitrage-band are computed as solutions to a quasi-linear partial-differential-equation, and, in general, each end-point of such a band depends on both interest-rates for borrowing and for lending. This, in turn, implies that the vector of concurrent equilibrium prices of different contingent-claims - even claims that are written on different underlying assets - must lie within a computable oval in the price space.},
	url = {/files/dp35.pdf},
	author = {Yaacov Z. Bergman}
}
