We consider fundamental questions of arbitrage pricing arising when the uncertainty model incorporates volatility … uncertainty. With a standard probabilistic model, essential equivalence between the absence of arbitrage and the existence of an … martingale measure sets, in a dynamic trading framework under absence of prior depending arbitrage. We prove the existence of …

Derivatives valuation has strong theoretical support because models are derived from the principle that arbitrage … between the derivative and its underlying will eliminate riskless profits and drive the market price to the model value. "No-arbitrage …, not by theories. In this talk, I discuss how different the arbitrage trade is for different markets and different models …

meaningful, this paper proposes a simple filtering procedure for option prices based on the no-arbitrage principle, in which the … data are adjusted only if basic no-arbitrage conditions are violated. In such case, quotes are adjusted by using …