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 …

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 …

propose a model that gives upper and lower bounds for option prices in the absence of arbitrage in an incomplete market with …

misvalued stocks are harder to arbitrage than less misvalued stocks …