neither closed nor convex. Regarding hedging, non-linear hedging costs motivate the study of arbitrage free prices for the … of price impact. Additionally, we show arbitrage opportunities, should they arise from claim prices, can be exploited … only for limited position sizes, and may be ignored if outweighed by hedging considerations. We also show that arbitrage …

to be locally arbitrage free, however, it still permits some form of arbitrage. Finally, a subclass of arbitrage free … portfolio ; arbitrage amount …

This paper proposes a paradigm shift in the valuation of long term contracts, away from classical no-arbitrage pricing …

In a one price economy, the Fundamental Theorem of Asset Pricing (FTAP) establishes that no-arbitrage is equivalent to … the hyperplane that separates the attainable gain subspace and the convex cone representing arbitrage opportunities … anymore. We use convex optimization, and the conic property of this region to characterize the "no-arbitrage" principle in …

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