costs, counterparty credit risk, and collateralization. Based on no-arbitrage arguments, we derive backward stochastic … the definition of buyer's and seller's XVA, which in turn identify a no-arbitrage interval.In the case that borrowing and …

, 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 …

For the first time in the Turkish stock market, the width of the zero arbitrage band for BIST 30 stock index arbitrage … costs. This study also extends the literature of stock index arbitrage by utilizing intraday data to compute returns for … forward and reverse BIST 30 arbitrage once per minute for 2014 and 2015 futures contracts. These returns enable identification …

fairly valued equity futures depends heavily on the existence of active arbitrage in which stocks and futures are paired off … against one another by professional arbitrageurs seeking to exploit any mispricing. Current constraints on efficient arbitrage … execution. The result of these costs and constraints is that stock versus futures arbitrage in India is presently confined …

We prove that in a discrete-time market model the lower arbitrage bound of an American contingent claim is itself an … arbitrage-free price if and only if it corresponds to the price of the claim optimally exercised under some equivalent …

“Arbitrage CDOs” have recorded an explosive growth during the years before the outbreak of …

Most empirical studies on arbitrage opportunities tend to focus on arbitrage resulting from two “securities”, normally … “different” option values the “amount” of arbitrage increase than in case alluded earlier on in this abstract. More importantly … cost if any. Lastly, despite that the empirical study is on multiple arbitrage opportunities, overall results exemplify …

arbitrage. Because of these limits, derivative securities can play primary roles in risk allocation and investors can demand …