shares being used in arbitrage trades or by the indirect effect of ETF trading improving the liquidity of index stocks in the …

quite general framework, we show that the assumption of no-arbitrage is essentially equivalent to the existence of a … the no-arbitrage condition in these imperfect models, from which it is easy to derive pricing formulae for contingent …

In this paper, we study securities market models with fixed costs. We characterize the absence of arbitrage … models, which present arbitrage opportunities in the absence of fixed costs.In particular, we prove that the quite striking … result obtained by Dybvig, Ingersoll and Ross (1996), which asserts that, under the assumption of absence of arbitrage, long …

commodity derivatives markets. First, this variable restores the non arbitrage relationship between the prices of the underlying …

markets are assumed to be frictionless. The main result is that a price process is arbitrage free (or, equivalently … probability measure. The theory of pricing by arbitrage floows from there. Contingent claims can be priced by taking their … arbitrage. The new probabilities can be interpreted as state prices or as the intertemporal marginal ratyes of substitution of …