equivalence of absence of arbitrage, the existence of a positive linear pricing rule, and the existence of an optimum for some …

, and the transaction cost and market friction are considered in building the arbitrage-free spread interval. By comparing … Treasury futures. We find that there are many arbitrage opportunities among the three varieties, and the market is not fully … Treasury futures market will lead to higher market efficiency, shorter duration of arbitrage opportunities, and a faster return …

characterize an absence of arbitrage opportunity as the mathematical model is no more convex. An unified approach is to describe a … including non linear trading costs. The natural question is to which extent the results of the classical arbitrage theory are … measure mean? Our contribution is a first attempt to characterise the absence of arbitrage opportunity in non convex financial …

We show theoretically and empirically that no-arbitrage pricing magnifies the importance of noise when replication …