developed which completely characterizes all risk arbitrage opportunities which arise if a well-behaved pricing kernel does not … exist. The Stochastic Arbitrage system can account for market imperfections in the form of transactions costs and general … portfolio restrictions. An active trading strategy based on the Stochastic Arbitrage system for front-month S&P500 stock index …

stocks in the index basket, an arbitrageur can lock in the profit of a positive (negative) arbitrage basis in a stock index … futures by adopting a short (long) futures strategy. In addition, the arbitrageur may improve the arbitrage profit by adopting … position directly to the short position or vice versa. In this paper, we examine the optimal arbitrage strategies in stock …

Lévy processes, that fulfills a no-overlapping-arbitrage (NOA) condition. We compute European option prices by Fourier … transform methods, introduce a specific calibration procedure that takes into account no-arbitrage constraints and fit the model …