Bayraktar, Erhan; Zhang, Yuchong; Zhou, Zhou - In: Risks : open access journal 2 (2014) 4, pp. 425-433
) are quoted with bid-ask spreads. In this set-up, we need to work with the notion of robust no-arbitrage which turns out to … be equivalent to no-arbitrage under the additional assumption that hedging options with non-zero spread are non …