, and proofs has been presented that these fractional Black-Scholes models are free of arbitrage. These results on absence … of arbitrage complelety contradict a number of earlier results in the literature which prove that the fractional Black …-Scholes model (and related models) will in fact admit arbitrage. The object of the present paper is to resolve this contradiction by …

We consider fundamental questions of arbitrage pricing arising when the uncertainty model is given by a set of possible … mutually singular probability measures. With a single probability model, essential equivalence between the absence of arbitrage … equivalent symmetric martingale measure sets, in a dynamic trading framework under absence of prior depending arbitrage. We prove …

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 …

By employing Lucas’ (1982) model, this study proposes an arbitrage relationship – the Uncovered Equity Return Parity …

Pragmatic-world nominal riskless rates are non-negative. However, conventional arbitrage theory has yet to develop a …

widens with positive probability at each time instant. With the increase of arbitrage capital on the market, the … predictability of the dynamics of the gap decreases, and the arbitrage opportunity turns into a risky speculative bet. In a …

^d-valued process. A strategy H is called extreme if it represents a maximal arbitrage opportunity. By this we mean that H generates at … zero. We characterize those subsets of F^e, on which no arbitrage opportunities exist. …