The problem of fair pricing of contingent claims is well understood in the contex of an arbitrage free, complete … financial market, with perfect information : the so-called arbitrage approach permits to construct a unique valuation operator …

shares being used in arbitrage trades or by the indirect effect of ETF trading improving the liquidity of index stocks in the …

. In such a model, we prove that the absence of arbitrage condition implies the existence of a discount rate and a …

costs, even satisfying usual no-arbitrage properties, may admit arbitrage opportunities of the second kind. This means that …

price a given asset : the arbitrage approach through the existence of a risk-neutral density, the utility approach through a …