This paper considers the dynamics of spot and futures prices in the presence of arbitrage. A partially linear error …

In this paper we consider the dynamics of spot and futures prices in the presence of arbitrage. We propose a partially …

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 …

We develop two models for index futures arbitrage that take the financing constraints faced by real-world arbitrageurs …

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 …

in economic theory, to our understanding of risk preferences. I estimate the state-price density nonparametrically using …

that early exercise premium is significant regardless of moneyness. Moreover, consistent with the theory, the value of …