. A more recent trend has been gaining ground, namely, arbitrage in derivatives. The critical parameter in derivatives … options were fairly priced. Any systematic bias in options pricing would provide evidence for arbitrage opportunities …

Option prices, particularly those of out-of-the-money equity index puts, are difficult to justify in a no-arbitrage … framework. This paper shows how limits to arbitrage affect the relative pricing of out-of-the-money put vs. call options (option … support for the existence of a limits to arbitrage effect on option prices as well as option returns …

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 …

This article analyses the arbitrage opportunities on the ODAX options market in an intra-daily framework. Tests are …

Lévy processes, that fulfills a no-overlapping-arbitrage (NOA) condition. We compute European option prices by Fourier … transform methods, introduce a specific calibration procedure that takes into account no-arbitrage constraints and fit the model …