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 …

absence-of-arbitrage property of S, and is invariant if we replace the reference measure P with an equivalent measure Q. Now …

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

Kindleberger and Robert Shiller have documented that irrational behavior, ambiguous information or certain limits to arbitrage are …

In general multi-asset models of financial markets, the classic no-arbitrage concepts NFLVR and NUPBR have the serious … introduce a new way of defining “absence of arbitrage”. It rests on the new notion of a strategy being strongly share maximal … absence-of-arbitrage concepts do not change when we look at discounted or undiscounted prices, and they can be used in open …

equivalent sigma-martingale measure for the price process, and the equivalence of no arbitrage of the fi rst kind to the …