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 …

This paper develops a fully-fledged statistical arbitrage strategy based on a mean-reverting jump-diffusion model and …

developed and used for numerical studies. No-arbitrage conditions were also discussed …

product ZS is a P-sigma-martingale. Existence of a P-sigma-martingale density is equivalent to a classic absence-of-arbitrage …