frictionless. The main result is that a price process is arbitrage free (or, equivalently, compatible with some equilibrium) if and … by arbitrage follows from there. Contingent claims can be priced by taking their expected value with respect to an … equivalent martingale measure. If this value is unique, the claim is said to be priced by arbitrage. The new probabilities can be …

necessarily convergence of the arbitrage pricing intervals in that context. We prove here that we have very good convergence …

This paper derives a sufficient and necessary condition for arbitrage-free pricing, by the mathematical definition of … derivatives inherently possesses the arbitrage-free property. This condition can serve as a quick 'reality check' to help search … for arbitrage-free asset pricing. …

framework we study arbitrage free good deal pricing bounds for derivative assets along the lines of Cochrane and Saa …

' indices by applying a multifactor arbitrage pricing model. The local macroeconomic factors are industrial production …

characterization of the arbitrage-free market is not correct. Now we propose an equivalent characterization of the arbitrage …

. Our approach leads to an interval of admissible prices much better than the arbitrage pricing interval. …