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 … borrowing and lending rates, etc., can fit in our model for a specific set of investments, we then obtain a characterization of … 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 …

probability measure. The theory of pricing by arbitrage floows from there. Contingent claims can be priced by taking their …The theory of asset pricing, which takes its roots in the Arrow-Debreu model, the Black and Scholes formula, has been … markets are assumed to be frictionless. The main result is that a price process is arbitrage free (or, equivalently …

. In such a model, we prove that the absence of arbitrage condition implies the existence of a discount rate and a …

The problem of fair pricing of contingent claims is well understood in the contex of an arbitrage free, complete … financial market, with perfect information : the so-called arbitrage approach permits to construct a unique valuation operator …