We prove that in a discrete-time market model the lower arbitrage bound of an American contingent claim is itself an … arbitrage-free price if and only if it corresponds to the price of the claim optimally exercised under some equivalent …

“Arbitrage CDOs” have recorded an explosive growth during the years before the outbreak of …

neither closed nor convex. Regarding hedging, non-linear hedging costs motivate the study of arbitrage free prices for the … of price impact. Additionally, we show arbitrage opportunities, should they arise from claim prices, can be exploited … only for limited position sizes, and may be ignored if outweighed by hedging considerations. We also show that arbitrage …

This paper presents a new statistical arbitrage test which has lower Type I error and selects arbitrage opportunities … crisis. These mispricings appear to offer arbitrage opportunities if a standard statistical arbitrage test is employed … arbitrage opportunities …

Classic option pricing theory values a derivative contract via dynamic replication, and views the derivative as … arbitrage. Because of these limits, derivative securities can play primary roles in risk allocation and investors can demand … reducing the risk in derivative investments, the remaining risk can still be large and significant due to practical limits of …

In a discrete-time setting, we study arbitrage concepts in the presence of convex trading constraints. We show that … solvability of portfolio optimization problems is equivalent to absence of arbitrage of the first kind, a condition weaker than … classical absence of arbitrage opportunities. We center our analysis on this characterization of market viability and derive …

The capital structure arbitrage strategy exploits the discrepancies between the credit default swap and equity markets … traditional arbitrage trading during the financial crisis. Furthermore, the returns of the new strategies have lower correlation … with market returns than the standard capital structure arbitrage …

positive correlation between the equity and derivative holdings of mutual fund schemes against the Nifty Arbitrage 50 Index and … – the Securities and Exchange Board of India (SEBI) are making Arbitrage funds get attention. Low risk, attractive tax … their arbitrage schemes with a minimum of 65 percent exposure to equity and equity-equivalent exposure to explore arbitrage …

Most empirical studies on arbitrage opportunities tend to focus on arbitrage resulting from two “securities”, normally … “different” option values the “amount” of arbitrage increase than in case alluded earlier on in this abstract. More importantly … cost if any. Lastly, despite that the empirical study is on multiple arbitrage opportunities, overall results exemplify …