start from two simple, economically motivated axioms, namely absence of arbitrage (in the sense of NUPBR) and absence of … relative arbitrage among all buy-and-hold strategies (called static efficiency). A valuation process for a payoff is then … valuing by absence of arbitrage alone. We show that this always yields put-call parity, although put and call values …

without factors, but with a continuum of securities that have returns driven by a string. In this model, the arbitrage …