, portfolio constraints can lead to situations where not all arbitrage opportunities are necessarily eliminated in equilibrium …. For a world with portfolio constraints the concept of no arbitrage has to be replaced by a weaker concept which we call no … unlimited arbitrage. Second, though we can characterize prices which allow no unlimited arbitrage by the existence of certain …

order to numerically compute the prices of options. The data consist of more than 5000 call- and put-options from the German …

formula holds for subordinated Brownian motion and, this representation is useful in developing simple and tractable hedging … strategies (the Greeks) in jump-type derivatives market as opposed to more complex jump models. …

for the existence of arbitrage opportunities or free lunches with vanishing risk, of the form of waiting to buy and … the discretisation chosen. Arbitrage examples are established where the continuous analogue is arbitrage-free under small … (1997) article proving arbitrage in fBm models. …

Financial options typically incorporate times of exercise. Alternatively, they embody set-up costs or indivisibilities … here that integrality constraints can often be relaxed. In fact, simple mathematical programming, aimed at arbitrage or …

Hedging being a predominant financial concern, is considered as a robust method of managing investment risks …. Literature evinces that the covered call strategy provides nominal returns alongside effective hedging. However, studies have not … compared the hedging effectiveness of covered call, covered put, collar, and synthetic long call strategies in the equity …