, 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 …

: the existence of arbitrage. In this article, we solve this dilemma: We provide a fractional analogue to the work of Sethi …

, frequencies of mispricing and arbitrage as well as arbitrage profitability are measured. In particular, the following three … arbitrage trades are analyzed: (1) SET50 futures vs. TDEX, (2) SET50 futures vs. SET50 component stocks, and (3) TDEX vs. SET50 …

), the arbitrage-free condition yields option price that depends on x. This is because the arbitrage-free condition alone … an arbitrage-free portfolio …

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 …

We fully characterize the absence of Butterfly arbitrage in the SVI formula for implied total variance proposed by … Gatheral in 2004. The main ingredient is an intermediary characterization of the necessary condition for no arbitrage obtained … straightforward implementation of a least-squares calibration algorithm on the no arbitrage domain, which yields an excellent fit on …

study the analytic part of the SVI with the arbitrage conditions, we establish the initial guess and the parameter … arbitrage-free. The main contribution in this paper is that we provide two methods to resolve the arbitrage problem (butterfly …) algorithm, and the second one is analytical by using sufficient conditions that guarantee an SVI arbitrage-free.Our method …

We apply Geometric Arbitrage Theory to obtain results in mathematical finance for credit markets, which do not need … dynamics for credit market allowing for arbitrage possibilities. Moreover, arbitrage credit bubbles for both base credit assets … and credit derivatives are explicitly computed for the market dynamics minimizing the arbitrage …