-index spot-futures pricing. Using intraday data for financial instruments related to the CAC 40 index, we do not find that the … shares being used in arbitrage trades or by the indirect effect of ETF trading improving the liquidity of index stocks in the …

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

In this paper, we study securities market models with fixed costs. We characterize the absence of arbitrage … opportunities and we provide fair pricing rules. We then apply these results to extend some popular interest rate and option pricing … models, which present arbitrage opportunities in the absence of fixed costs.In particular, we prove that the quite striking …

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 …