here that integrality constraints can often be relaxed. In fact, simple mathematical programming, aimed at arbitrage or … replication, may bound or identify option prices. When the asset market is incomplete, the bounds stem from nonlinear pricing …

firms competing in a Cournot fashion. While limitless consumer arbitrage forces a monopolist to deviate from its optimal … pricing policies, it acts as a "disciplining device" helping the Cournot duopoly to approach and commit to the cartel solution … in some markets. The firms' total profit may hence be higher when they engage in integrated-market pricing and neither …

spreads across currencies allow for substantial deviations from common measures of CIP without implying arbitrage … to persistent arbitrage opportunities in long-dated fixed income markets. …

arbitrage, which requires a minimum divergence before the costs of arbitrage can be recouped. In this paper, we examine this … reasoning. If arbitrage was indeed the cause of mean reversion, one would expect to see a quantity respose of trade flows at the …

We analyze the pricing of risky income streams in a world with competitive security markets where investors are … constrained by restrictions on possible portfolio holdings. We investigate how we can transfer concepts and pricing techniques …, portfolio constraints can lead to situations where not all arbitrage opportunities are necessarily eliminated in equilibrium …

between the S&P 500 futures and cash indexes. Discontinuous arbitrage suggests that a threshold error correction mechanism may … futures and cash indexes. The results indicate that nonlinear dynamics are important and related to arbitrage and suggest that … arbitrage is associated with more rapid convergence of the basis to the cost of carry than would be indicated by a linear model. …

return matrix allows for redundant assets. Prices of assets may permit arbitrage. At equilibrium, though restricted through … endogenously determined trading constraints, arbitrage possibilities may persist; in an example, an individual holds an arbitrage …

This paper provides real-time evidence on the frequency, size and duration of arbitrage opportunities and deviations … parity (CIP) condition ('round-trip arbitrage') and inter-market price differentials ('one-way arbitrage') using a unique …

persistence and find substantial reversion. We also test for possible arbitrage opportunities in the form of excess returns. Once … arbitrage in excess of the market return. The overall impression is that the Norwegian housing market is relatively micro …

mule spindlescould exploit arbitrage opportunities between different types of cotton in theLiverpool market, reducing the … incentives to adopt rings. We use newly assembledprice data to show that such cost-reducing arbitrage opportunities were small …