Guasoni (2006) introduced a simple condition for the absence of arbitrage opportunities. In this note we show that his … results remain valid under a weaker notion of arbitrage which arises by excluding liquidation costs from the value process of … a portfolio. -- Arbitrage ; transaction costs ; fractional Brownian motion …

We fully characterize the absence of Butterfly arbitrage in the SVI formula for implied total variance proposed by … Gatheral in 2004. The main ingredient is an intermediary characterization of the necessary condition for no arbitrage obtained … straightforward implementation of a least-squares calibration algorithm on the no arbitrage domain, which yields an excellent fit on …

We prove the existence of statistical arbitrage opportunities for jump-diffusion models of stock prices when the jump …-size distribution is assumed to have finite moments. We show that to obtain statistical arbitrage, the risky asset holding must go to … zero in time. Existence of statistical arbitrage is demonstrated via 'buy-and-hold until barrier' strategy, where the …

The no Butterfly arbitrage domain of Gatheral SVI 5-parameters formula for the volatility smile has been recently …

A central conjecture of behavioural finance is that arbitrage opportunities appear as a result of systematic irrational … investment behaviour and persist since real-world arbitrage trades actually involve costs and risks due to market frictions and … non-fundamental risk. This paper shows that the no-arbitrage condition can emerge from the market selection process even …

The article describes a global and arbitrage-free parametrization of the eSSVI surfaces introduced by Hendriks and … suggested in this article is faster and always guarantees an arbitrage-free fit of market data …

This paper systematically examines the impact of nine popular arbitrage costs measures on cross-sectional mispricing … based on ten well-known and robust anomalies. We show that binding arbitrage barriers slowly change over time. In early … years with few publications documenting return anomalies, arbitrage costs have tiny impact even though mispricing is present …