, 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 …

differences between the option-implied and market observed prices. Our results strongly suggest that there exist arbitrage …

models satisfying the natural static arbitrage bounds across strikes. We next characterize absence of dynamic arbitrage for …, and hence of arbitrage-free multi-strike market models of option prices. …

We study arbitrage opportunities in diverse markets as introduced by R. Fernholz in [2]. By a change of measure …-equivalent measure change which implies the existence of instantaneous arbitrage opportunities in diverse markets. For this technique to …

here that integrality constraints can often be relaxed. In fact, simple mathematical programming, aimed at arbitrage or …

There is an extensive literature claiming that it is often difficultto make use of arbitrage opportunities in financial … markets. Thispaper provides a new reason why existing arbitrage opportunitiesmight not be seized. We consider a world with … short-lived securities,no short-selling constraints and no transaction costs. We show thatto exploit all existing arbitrage …